A functional analysis approach to the static replication of European options
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Publication:5014195
Recommendations
- Static replication of European multi-asset options with homogeneous payoff
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- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
- Replication scheme for the pricing of European options
- Static hedging under maturity mismatch
Cites work
- scientific article; zbMATH DE number 2132156 (Why is no real title available?)
- scientific article; zbMATH DE number 3921884 (Why is no real title available?)
- scientific article; zbMATH DE number 1745905 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A novel pricing method for European options based on Fourier-cosine series expansions
- CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
- Handbook of integral equations
- Inverses, determinants, eigenvalues, and eigenvectors of real symmetric Toeplitz matrices with linearly increasing entries
- Linear integral equations
- Option pricing when underlying stock returns are discontinuous
- Probability
- Semistatic and sparse variance-optimal hedging
- The Dilogarithm Function
- The pricing of options and corporate liabilities
- WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
Cited in
(11)- Static replication of European standard dispersion options
- Computation of replicated exercise prices by using positive bases
- On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
- Static replication of European multi-asset options with homogeneous payoff
- A new representation of the risk-neutral distribution and its applications
- A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
- Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
- Replication scheme for the pricing of European options
- The illusions of dynamic replication
- Static replication of barrier-type options via integral equations
- On certain representations of pricing functionals
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