Static super-replicating strategies for a class of exotic options

Author:

Chen X.,Deelstra G.,Dhaene J.,Vanmaele M.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference29 articles.

1. Static hedging of Asian options under Lévy models: The comonotonicity approach;Albrecher;The Journal of Derivatives,2005

2. Probability and Measure;Billingsley,1995

3. Prices of state-contingent claims implicit in option prices;Breeden;Journal of Business,1978

4. Marchés financiers en temps continu;Dana;Economica,1998

5. Bounds for Asian basket options;Deelstra;Journal of Computational and Applied Mathematics,2006

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