Semi-static hedging for certain Margrabe-type options with barriers

DOI10.1080/14697688.2010.497494zbMath1221.91049arXiv0810.5146OpenAlexW1979500110MaRDI QIDQ3088322

Michael Schmutz

Publication date: 19 August 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.5146

Mathematics Subject Classification ID

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

Related Items (5)

Exchangeability-type properties of asset prices ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ Invariance properties of random vectors and stochastic processes based on the zonoid concept ⋮ Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion ⋮ Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models

Cites Work

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• On the duality principle in option pricing: semimartingale setting
• Esscher transform and the duality principle for multidimensional semimartingales
• Change of Time and Change of Measure
• Barrier options and their static hedges: simple derivations and extensions
• Multivariate Extension of Put-Call Symmetry
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
• Symmetry and duality in Lévy markets
• A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets

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