Auto-static for the people: risk-minimizing hedges of barrier options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-009-9040-7.pdf
Reference38 articles.
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2. An, Y., & Suo, W. (2009). An empirical comparison of option pricing models in hedging exotic options. Forthcoming in financial management.
3. Andersen L., Andreasen D., Eliezer J. (2002) Static replication of barrier options: Some general results. Journal of Computational Finance 5: 1–25
4. Artzner P., Delbaen F., Eber J.-M., Heath D. (1999) Coherent measures of risk. Mathematical Finance 9: 203–228
5. Barndorff-Nielsen O. E. (1998) Processes of normal inverse Gaussian type. Finance and Stochastics 2: 41–68
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