OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
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Cites work
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An entropy approach to the Stein and Stein model with correlation
- An example of indifference prices under exponential preferences
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- Bounds on European option prices under stochastic volatility
- Exponential Hedging and Entropic Penalties
- On the minimal entropy martingale measure.
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Optimal investment in incomplete markets when wealth may become negative.
- Option valuation and hedging with basis risk
- Pricing a nontradeable asset and its derivatives.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Robust hedging of barrier options.
- Singular Perturbations for Boundary Value Problems Arising from Exotic Options
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- Utility based optimal hedging in incomplete markets.
Cited in
(28)- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
- Static hedging under time-homogeneous diffusions
- Robust static super-replication of barrier options
- Barrier Option Hedging under Constraints: A Viscosity Approach
- Duality in static hedging of barrier options
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- Pricing illiquid options with N+1 liquid proxies using mixed dynamic-static hedging
- Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
- Edokko options: a new framework of barrier options
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
- Pricing European options under stochastic volatilities models
- Optimal positioning in derivative securities in incomplete markets
- 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
- Pricing index options by static hedging under finite liquidity
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
- Barrier options and their static hedges: simple derivations and extensions
- A note on utility indifference pricing
- Discrete-time quadratic hedging of barrier options in exponential Lévy model
- Auto-static for the people: risk-minimizing hedges of barrier options
- Optimal investment and price dependence in a semi-static market
- Optimal static quadratic hedging
- Static hedging under maturity mismatch
- Hedging European and barrier options using stochastic optimization
- Robust static hedging of barrier options in stochastic volatility models
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- Static versus dynamic hedges: an empirical comparison for barrier options
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