OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
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Cites work
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Cited in
(27)- Duality in static hedging of barrier options
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
- A Note on Market Completeness with American Put Options
- Auto-static for the people: risk-minimizing hedges of barrier options
- Robust static hedging of barrier options in stochastic volatility models
- Optimal static quadratic hedging
- Optimal hedging of basket barrier options with additive models and its application to equity value separation problem
- Static hedging under maturity mismatch
- Robust static super-replication of barrier options
- Static hedging under time-homogeneous diffusions
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- Edokko options: a new framework of barrier options
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- Pricing European options under stochastic volatilities models
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Pricing index options by static hedging under finite liquidity
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
- Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
- Static versus dynamic hedges: an empirical comparison for barrier options
- Pricing illiquid options with \(N+1\) liquid proxies using mixed dynamic-static hedging
- Barrier Option Hedging under Constraints: A Viscosity Approach
- Barrier options and their static hedges: simple derivations and extensions
- Discrete-time quadratic hedging of barrier options in exponential Lévy model
- Hedging European and barrier options using stochastic optimization
- A note on utility indifference pricing
- Optimal investment and price dependence in a semi-static market
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
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