Julien Claisse

Independent

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Robust Hedging of Options on Local Time

Number of pages: 32 Posted: 22 Nov 2015
Julien Claisse, Gaoyue Guo and Pierre Henry-Labordere
Independent, Ecole Polytechnique, Paris and Natixis - Paris, France
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Abstract:

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Skorokhod embedding, Model-free pricing, Robust hedging, Local time