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

Empirical performance of models for barrier option valuation, Robust static hedging of barrier options in stochastic volatility models

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