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

DOI10.1080/14697688.2010.497494zbMath1221.91049arXiv0810.5146MaRDI 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

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

Related Items

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, Exchangeability-type properties of asset prices

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