OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
From MaRDI portal
Publication:5488979
DOI10.1111/J.1467-9965.2006.00275.XzbMATH Open1145.91339OpenAlexW2052920925MaRDI QIDQ5488979FDOQ5488979
Publication date: 25 September 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00275.x
Recommendations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- Robust hedging of barrier options.
- Bounds on European option prices under stochastic volatility
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- On the minimal entropy martingale measure.
- Optimal investment in incomplete markets when wealth may become negative.
- Exponential Hedging and Entropic Penalties
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- An example of indifference prices under exponential preferences
- An entropy approach to the Stein and Stein model with correlation
- Singular Perturbations for Boundary Value Problems Arising from Exotic Options
- Pricing a nontradeable asset and its derivatives.
- Option valuation and hedging with basis risk
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
- Utility based optimal hedging in incomplete markets.
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
Cited In (19)
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
- Robust static super-replication of barrier options
- Barrier Option Hedging under Constraints: A Viscosity Approach
- Duality in static hedging of barrier options
- Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- Edokko options: a new framework of barrier options
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
- A Note on Market Completeness with American Put Options
- A note on utility indifference pricing
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
- Auto-static for the people: risk-minimizing hedges of barrier options
- Pricing European Options Under Stochastic Volatilities Models
- Optimal static quadratic hedging
- Optimal investment and price dependence in a semi-static market
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING
This page was built for publication: OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488979)
