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
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.:
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- Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003.
"Hedging options under transaction costs and stochastic volatility,"
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Elsevier, vol. 27(6), pages 1045-1068, April.
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- Kraft, Holger, 2007. "Pitfalls in static superhedging of barrier options," Finance Research Letters, Elsevier, vol. 4(1), pages 2-9, March.
- Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
- Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
- Dirk Tasche, 2002.
"Expected Shortfall and Beyond,"
cond-mat/0203558, arXiv.org, revised Oct 2002.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
- Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che, 2013. "Static hedging and pricing American knock-in put options," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 191-205.
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