Static and semistatic hedging as contrarian or conformist bets

From MaRDI portal

Revision as of 05:46, 7 March 2024 by Import240305080351 (talk | contribs) (Created automatically from import240305080351)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:5855945

Jump to:navigation, search

DOI10.1111/mafi.12240OpenAlexW3010952585MaRDI QIDQ5855945

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.02854

zbMATH Keywords

Lévy processes Wiener-Hopf factorization static hedging barrier options sinh-acceleration semistatic hedging Fourier-Laplace inversion exotic European options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Hedging Option Books Using Neural-SDE Market Models ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

This page was built for publication: Static and semistatic hedging as contrarian or conformist bets

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:5855945&oldid=30702353"