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Static hedging of multivariate derivatives by simulation

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Author Info
Pellizzari, P.

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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 166 (2005)
Issue (Month): 2 (October)
Pages: 507-519
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Handle: RePEc:eee:ejores:v:166:y:2005:i:2:p:507-519

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hyungsok Ahn Adviti, Muni, Glen Swindle, 1997. "Misspecified asset price models and robust hedging strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(1), pages 21-36, March. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, vol. 12(3), pages 193-211, October. [Downloadable!] (restricted)
  2. Xia Su, 2006. "Hedging Basket Options by Using a Subset of Underlying Assets," Bonn Econ Discussion Papers bgse14_2006, University of Bonn, Germany. [Downloadable!]
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