HEDGING DOUBLE BARRIERS WITH SINGLES
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Publication:3023924
DOI10.1142/S0219024905002998zbMath1113.91026OpenAlexW2158765561MaRDI QIDQ3023924
Publication date: 6 July 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905002998
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MAXIMUM DRAWDOWN INSURANCE ⋮ Real options maximizing survival probability under incomplete markets ⋮ Optimal control of European double barrier basket options ⋮ THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST ⋮ Barrier options and their static hedges: simple derivations and extensions
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