Robust Static Super-Replication of Barrier Options in the Black-Scholes model
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Publication:3592848
DOI10.1007/0-387-28654-3_7zbMath1157.91367MaRDI QIDQ3592848
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
90C31: Sensitivity, stability, parametric optimization
90C34: Semi-infinite programming
91G20: Derivative securities (option pricing, hedging, etc.)
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