Auto-static for the people: risk-minimizing hedges of barrier options
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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.
- Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
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- repec:spr:compst:v:70:y:2009:i:3:p:405-433 is not listed on IDEAS
- 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.
- 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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