Hedging Barrier Options: Current Methods and Alternatives
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References listed on IDEAS
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- Robert C. Merton, 2005.
"Theory of rational option pricing,"
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- Peter G. Zhang, 1998. "Hedging Exotic Options," World Scientific Book Chapters, in: Exotic Options A Guide to Second Generation Options, chapter 35, pages 639-643, World Scientific Publishing Co. Pte. Ltd..
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Cited by:
- Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Discussion Paper 2000-112, Tilburg University, Center for Economic Research.
- J. Maruhn & E. Sachs, 2009. "Robust static hedging of barrier options in stochastic volatility models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 405-433, December.
- Alessandro Sbuelz, 2005. "Hedging Double Barriers With Singles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 393-407.
- Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Other publications TiSEM e810e3ab-1936-457e-a3ae-7, Tilburg University, School of Economics and Management.
- Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
- Alev{s} v{C}ern'y, 2016. "Discrete-Time Quadratic Hedging of Barrier Options in Exponential L\'{e}vy Model," Papers 1603.03747, arXiv.org.
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More about this item
Keywords
Barrier options; Static hedging; Mean-square hedging;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
Statistics
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