Auto-static for the people: risk-minimizing hedges of barrier options
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 12 (2009)
Issue (Month): 3 (October)
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Web page: http://www.springerlink.com/link.asp?id=102989
Risk-minimization; Static hedge; Barrier option; Bates model; NIG model; Model risk; G13; C61;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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