Static Hedging of Barrier Options with a Smile: An Inverse Problem
DOI10.1051/COCV:2002040zbMATH Open1063.91028OpenAlexW2082606131MaRDI QIDQ4421087FDOQ4421087
Authors: C. Bardos, Raphaël Douady, Andrei V. Fursikov 
Publication date: 19 August 2003
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=COCV_2002__8__127_0
Recommendations
- Barrier options and their static hedges: simple derivations and extensions
- Robust static hedging of barrier options in stochastic volatility models
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Barrier Option Hedging under Constraints: A Viscosity Approach
- Semi-static hedging for certain Margrabe-type options with barriers
- Duality in static hedging of barrier options
- Semi-static hedging of barrier options under Poisson jumps
- A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robust hedging of the lookback option
- Partial differential equations. 3: Nonlinear equations
- Carleman estimates and unique continuation for solutions to boundary value problems
- Robust hedging of barrier options.
- Title not available (Why is that?)
- European Option Pricing with Transaction Costs
- Title not available (Why is that?)
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- Local exact controllability of the two-dimensional Navier-Stokes equations
- On approximate controllability of the Stokes system
- Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
- Title not available (Why is that?)
- A representation result for time-space Brownian chaos
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- On the controllability problem arising in financial mathematics
- Lagrange principle for problems of optimal control of ill-posed or singular distributed systems
- CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
Cited In (8)
- Barrier Option Hedging under Constraints: A Viscosity Approach
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
- Auto-static for the people: risk-minimizing hedges of barrier options
- Optimal static quadratic hedging
- Multiasset derivatives and joint distributions of asset prices
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- A Laplace transform finite difference method for the Black-Scholes equation
- Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution
This page was built for publication: Static Hedging of Barrier Options with a Smile: An Inverse Problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4421087)
