Auto-static for the people: risk-minimizing hedges of barrier options
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- Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
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- J. Maruhn & E. Sachs, 2009. "Robust static hedging of barrier options in stochastic volatility models," Mathematical Methods of Operations Research, Springer, vol. 70(3), pages 405-433, December.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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- Rolf Poulsen, 2006. "Barrier options and their static hedges: simple derivations and extensions," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 327-335.
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