Robust static hedging of barrier options in stochastic volatility models (Q1044210): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00186-008-0273-2
+Normal rank
@@ Property / OpenAlex ID @@
+W2071987483
@@ Property / OpenAlex ID: W2071987483 / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q3939127
@@ Property / cites work: Q3939127 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Static Super-Replication of Barrier Options in the Black-Scholes model
+Normal rank
@@ Property / cites work @@
+Unicité du prolongement des solutions pour quelques opérateurs différentiels paraboliques
+Normal rank
@@ Property / cites work @@
+Auto-static for the people: risk-minimizing hedges of barrier options
+Normal rank