Auto-static for the people: risk-minimizing hedges of barrier options
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Publication:1037576
DOI10.1007/S11147-009-9040-7zbMATH Open1187.91217OpenAlexW1981536853MaRDI QIDQ1037576FDOQ1037576
Authors: 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
Recommendations
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Robust static hedging of barrier options in stochastic volatility models
- Barrier options and their static hedges: simple derivations and extensions
- Static versus dynamic hedges: an empirical comparison for barrier options
- Semi-static hedging for certain Margrabe-type options with barriers
- Robust hedging of barrier options.
- Duality in static hedging of barrier options
- Hedging European and barrier options using stochastic optimization
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
Cites Work
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- Title not available (Why is that?)
- Static hedging of multivariate derivatives by simulation
- A guided tour through quadratic hedging approaches
- Convex measures of risk and trading constraints
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Expected shortfall and beyond
- Stochastic programming approach to optimization under uncertainty
- Robustness and sensitivity analysis of risk measurement procedures
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Weighted V\@R and its properties
- Robust static hedging of barrier options in stochastic volatility models
- Put-call symmetry: extensions and applications
- Barrier options and their static hedges: simple derivations and extensions
- Hedging options under transaction costs and stochastic volatility
- Static versus dynamic hedges: an empirical comparison for barrier options
- Title not available (Why is that?)
Cited In (8)
- Risk minimization in stochastic volatility models: model risk and empirical performance
- Modeling and evaluation of the option book hedging problem using stochastic programming
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Static hedging of geometric average Asian options with standard options
- Semi-static hedging of barrier options under Poisson jumps
- Empirical performance of models for barrier option valuation
- Robust static hedging of barrier options in stochastic volatility models
- Static versus dynamic hedges: an empirical comparison for barrier options
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