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Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 12 (2009)
Issue (Month): 3 (October)
Pages: 193-211
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:revdev:v:12:y:2009:i:3:p:193-211

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Related research

Keywords: Risk-minimization; Static hedge; Barrier option; Bates model; NIG model; Model risk; G13; C61;

References listed on IDEAS
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1. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April. [Downloadable!] (restricted)
   Other versions:
   • Roy Kouwenberg & Jacek Gondzio & Ton Vorst, 1999. "Hedging Options under Transaction Costs and Stochastic Volatility," Computing in Economics and Finance 1999 911, Society for Computational Economics.
2. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, 06. [Downloadable!] (restricted)
3. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(1), pages 69-107. [Downloadable!] (restricted)
4. Pellizzari, P., 2005. "Static hedging of multivariate derivatives by simulation," European Journal of Operational Research, Elsevier, vol. 166(2), pages 507-519, October. [Downloadable!] (restricted)
   Other versions:
   • Paolo Pellizzari, 2003. "Static Hedging of Multivariate Derivatives by Simulation," Finance 0311013, EconWPA, revised 04 Dec 2003. [Downloadable!]
5. Kraft, Holger, 2007. "Pitfalls in static superhedging of barrier options," Finance Research Letters, Elsevier, vol. 4(1), pages 2-9, March. [Downloadable!] (restricted)
6. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. [Downloadable!] (restricted)
   Other versions:
   • H. Föllmer & A. Schied, . "Convex measures of risk and trading constraints," Sonderforschungsbereich 373 2001-71, Humboldt Universitaet Berlin.
7. Rolf Poulsen, 2006. "Barrier options and their static hedges: simple derivations and extensions," Quantitative Finance, Taylor and Francis Journals, vol. 6(4), pages 327-335, August. [Downloadable!] (restricted)
8. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July. [Downloadable!] (restricted)

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This page was last updated on 2009-12-10.