Auto-static for the people: risk-minimizing hedges of barrier options
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Publication:1037576
DOI10.1007/s11147-009-9040-7zbMath1187.91217OpenAlexW1981536853MaRDI QIDQ1037576
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
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Related Items (4)
Empirical performance of models for barrier option valuation ⋮ Robust static hedging of barrier options in stochastic volatility models ⋮ Modeling and evaluation of the option book hedging problem using stochastic programming ⋮ Static Hedging of Geometric Average Asian Options with Standard Options
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