Static Replication of Barrier Options: Some General Results-Reference-Cited by-同舟云学术

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Static Replication of Barrier Options: Some General Results

Published:2000 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andersen Leif B.G.,Andreasen Jesper,Eliezer David A.

Publisher

Elsevier BV

Reference16 articles.

1. Jumping Smiles;L Andersen;Risk November,1999

2. The Passport Option;L Andersen;Journal of Computational Finance,1998

3. The Equity Option Volatility Smile: A Finite Difference Approach;L Andersen;Journal of Computational Finance,1998

4. Pricing and Hedging Derivative Securities in Markets with Uncertain Volatility;M Avellaneda;Applied Math. Finance,1995

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2. Semistatic hedging and pricing American floating strike lookback options;Journal of Futures Markets;2018-12-08

3. Pricing down-and-out power options with exponentially curved barrier;Numerical Algebra, Control & Optimization;2018

4. Market makers’ optimal price-setting policy for exchange-traded certificates;Journal of Banking & Finance;2016-10

5. Degenerate backward SPDEs in bounded domains and applications to barrier options;Discrete & Continuous Dynamical Systems - A;2015

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