Static and semistatic hedging as contrarian or conformist bets
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Publication:5855945
DOI10.1111/mafi.12240OpenAlexW3010952585MaRDI QIDQ5855945
Svetlana Boyarchenko, Sergei Levendorskii
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.02854
Lévy processesWiener-Hopf factorizationstatic hedgingbarrier optionssinh-accelerationsemistatic hedgingFourier-Laplace inversionexotic European options
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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