Static and semistatic hedging as contrarian or conformist bets-Reference-Cited by-同舟云学术

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Static and semistatic hedging as contrarian or conformist bets

Published:2020-03-12 Issue:3 Volume:30 Page:921-960
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Boyarchenko Svetlana¹,Levendorskiĭ Sergei²

Affiliation:

1. Department of EconomicsThe University of Texas at AustinAustin Texas

2. Calico Science ConsultingAustin Texas

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12240

Reference42 articles.

1. Static Hedging of Asian Options under Lévy Models

2. Static replication of barrier options: some general results

3. Processes of normal inverse Gaussian type

4. Feller processes of normal inverse Gaussian type

5. PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER

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