Auto-static for the people: risk-minimizing hedges of barrier options

DOI10.1007/S11147-009-9040-7zbMath1187.91217OpenAlexW1981536853MaRDI QIDQ1037576

Johannes Siven, Rolf Poulsen

Publication date: 16 November 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9040-7

zbMATH Keywords

model riskrisk-minimizationbarrier optionBates modelNIG modelstatic hedge

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Empirical performance of models for barrier option valuation ⋮ Robust static hedging of barrier options in stochastic volatility models ⋮ Modeling and evaluation of the option book hedging problem using stochastic programming ⋮ Static Hedging of Geometric Average Asian Options with Standard Options

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