Robust static hedging of barrier options in stochastic volatility models
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Cites work
- scientific article; zbMATH DE number 3755766 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Auto-static for the people: risk-minimizing hedges of barrier options
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Robust Static Super-Replication of Barrier Options in the Black-Scholes model
- Robust hedging of barrier options.
- Unicité du prolongement des solutions pour quelques opérateurs différentiels paraboliques
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
- Recent advancements in robust optimization for investment management
- Duality in static hedging of barrier options
- Tractable hedging: An implementation of robust hedging strategies
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- 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
- scientific article; zbMATH DE number 5846090 (Why is no real title available?)
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Robust Static Super-Replication of Barrier Options in the Black-Scholes model
- Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
- 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
- Auto-static for the people: risk-minimizing hedges of barrier options
- Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
- OPTIMAL STATIC–DYNAMIC HEDGES FOR 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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