Robust Static Super-Replication of Barrier Options in the Black-Scholes model (Q3592848)
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scientific article; zbMATH DE number 5194741
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| English | Robust Static Super-Replication of Barrier Options in the Black-Scholes model |
scientific article; zbMATH DE number 5194741 |
Statements
Robust Static Super-Replication of Barrier Options in the Black-Scholes model (English)
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24 September 2007
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robust optimization
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static hedging
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super-replication
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barrier options
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Black-Scholes model
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0.9336182475090028
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0.9145926237106324
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0.8962664604187012
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0.849653959274292
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0.8199549317359924
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