Robust static hedging of barrier options in stochastic volatility models

DOI10.1007/s00186-008-0273-2zbMath1177.91131MaRDI QIDQ1044210

Ekkehard W. Sachs, Jan H. Maruhn

Publication date: 11 December 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0273-2

zbMATH Keywords

stochastic volatility; robust optimization; static hedging; barrier options

Mathematics Subject Classification ID

90C30: Nonlinear programming

90C34: Semi-infinite programming

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

AUTOMATED OPTION PRICING: NUMERICAL METHODS, Auto-static for the people: risk-minimizing hedges of barrier options, A successive SDP-NSDP approach to a robust optimization problem in finance, Optimal control of European double barrier basket options, Duality in a Problem of Static Partial Hedging under Convex Constraints

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