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Robust hedging of the lookback option |
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| Authors: | David G Hobson |
| Institution: | (1) School of Mathematical Sciences, University of Bath, Claverton Down, Bath, BA2 7AY, UK (e-mail: d.g.hobson@maths.bath.ac.uk) , GB |
| Abstract: | |
| Keywords: | : Lookback option super-replication martingale barycentre JEL classification numbers: G13 D52 Mathematics Subject Classification (1991):90A09 60G44 |
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