Robust static hedging of barrier options in stochastic volatility models
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Publication:1044210
DOI10.1007/S00186-008-0273-2zbMATH Open1177.91131OpenAlexW2071987483MaRDI QIDQ1044210FDOQ1044210
Authors: Jan H. Maruhn, Ekkehard W. Sachs 
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
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Nonlinear programming (90C30) Semi-infinite programming (90C34)
Cites Work
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Cited In (30)
- An analytical approximation for single barrier options under stochastic volatility models
- Robust static super-replication of barrier options
- Barrier Option Hedging under Constraints: A Viscosity Approach
- AUTOMATED OPTION PRICING: NUMERICAL METHODS
- A successive SDP-NSDP approach to a robust optimization problem in finance
- Duality in static hedging of barrier options
- Recent advancements in robust optimization for investment management
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- Tractable hedging: An implementation of robust hedging strategies
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Optimal control of European double barrier basket options
- Modeling and evaluation of the option book hedging problem using stochastic programming
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
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- Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
- Robust Static Super-Replication of Barrier Options in the Black-Scholes model
- Robust deep hedging
- Statistical options: crash resistant financial contracts based on robust estimation
- Robust hedging of double touch barrier options
- Semi-robust replication of barrier-style claims on price and volatility
- Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Auto-static for the people: risk-minimizing hedges of barrier options
- The evaluation of barrier option prices under stochastic volatility
- Hedging European and barrier options using stochastic optimization
- Static replication of barrier-type options via integral equations
- Robust One-Period Option Hedging
- Two asset-barrier option under stochastic volatility
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- Static versus dynamic hedges: an empirical comparison for barrier options
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