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

DOI10.1007/s11147-009-9040-7zbMath1187.91217MaRDI QIDQ1037576

Rolf Poulsen, Johannes Siven

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 risk; risk-minimization; barrier option; Bates model; NIG model; static hedge

Mathematics Subject Classification ID

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

Related Items

Static Hedging of Geometric Average Asian Options with Standard Options, Empirical performance of models for barrier option valuation, Robust static hedging of barrier options in stochastic volatility models

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