Optimal static-dynamic hedges for exotic options under convex risk measures
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References listed on IDEAS
- Aytaç İlhan & Ronnie Sircar, 2006. "Optimal Static-Dynamic Hedges For Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 16(2), pages 359-385.
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- Mattias Jonsson & K. Ronnie Sircar, 2002. "Partial Hedging In A Stochastic Volatility Environment," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 375-409.
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KeywordsRisk measures Hedging Exotic options;
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