Static Hedging of Barrier Options with a Smile: An Inverse Problem

DOI10.1051/COCV:2002040MaRDI QIDQ4421087zbMATH OpenOpenAlexFDO

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, https://eudml.org/doc/245707

zbMATH Keywords

inverse problemsreplicationCarleman estimatesbarrier option hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Controllability (93B05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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

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• Robust hedging of barrier options.
• Robust hedging of the lookback option
• Static Hedging of Barrier Options with a Smile: An Inverse Problem
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• The pricing of options and corporate liabilities

Cited in

(8)

• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Auto-static for the people: risk-minimizing hedges of barrier options
• A Laplace transform finite difference method for the Black-Scholes equation
• Optimal static quadratic hedging
• Multiasset derivatives and joint distributions of asset prices
• Static Hedging of Barrier Options with a Smile: An Inverse Problem
• Barrier Option Hedging under Constraints: A Viscosity Approach
• Approximating functionals of local martingales under lack of uniqueness of the Black-Scholes PDE solution

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