OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
From MaRDI portal
Publication:5488979
DOI10.1111/j.1467-9965.2006.00275.xzbMath1145.91339OpenAlexW2052920925MaRDI QIDQ5488979
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
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items
Optimal static quadratic hedging ⋮ Impact of risk aversion and belief heterogeneity on trading of defaultable claims ⋮ A Note on Market Completeness with American Put Options ⋮ Pricing European Options Under Stochastic Volatilities Models ⋮ PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER ⋮ Optimal investment and price dependence in a semi-static market ⋮ PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING ⋮ Optimal static-dynamic hedges for exotic options under convex risk measures ⋮ Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING ⋮ Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pricing a nontradeable asset and its derivatives.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- On the minimal entropy martingale measure.
- Utility based optimal hedging in incomplete markets.
- Optimal investment in incomplete markets when wealth may become negative.
- An example of indifference prices under exponential preferences
- An entropy approach to the Stein and Stein model with correlation
- Bounds on European Option Prices under Stochastic Volatility
- Robust Hedging of Barrier Options
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- Exponential Hedging and Entropic Penalties
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- Singular Perturbations for Boundary Value Problems Arising from Exotic Options
- 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