Robust Static Super-Replication of Barrier Options in the Black-Scholes model

DOI10.1007/0-387-28654-3_7zbMATH Open1157.91367OpenAlexW2187842972MaRDI QIDQ3592848FDOQ3592848

Authors: Ekkehard W. Sachs, Jan H. Maruhn 

Publication date: 24 September 2007

Published in: Robust Optimization-Directed Design (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-28654-3_7

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zbMATH Keywords

robust optimizationBlack-Scholes modelsuper-replicationstatic hedgingbarrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Sensitivity, stability, parametric optimization (90C31) Semi-infinite programming (90C34)

Cited In (10)

• Robust static super-replication of barrier options
• A successive SDP-NSDP approach to a robust optimization problem in finance
• Duality in static hedging of barrier options
• Statistical options: crash resistant financial contracts based on robust estimation
• Robust replication in \(H\)-self-similar Gaussian market models under uncertainty
• Semi-static hedging of barrier options under Poisson jumps
• Static replication of barrier-type options via integral equations
• Robust One-Period Option Hedging
• Robust static hedging of barrier options in stochastic volatility models
• Static versus dynamic hedges: an empirical comparison for barrier options

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