Static Hedging with Traffic Light Options-Reference-Cited by-同舟云学术

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Static Hedging with Traffic Light Options

Published:2013-05-03 Issue:7 Volume:34 Page:690-702
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Schmutz Michael¹,Zürcher Thomas²

Affiliation:

1. Dr. Michael Schmutz is at the Department of Mathematical Statistics and Actuarial Science; University of Bern; Bern Switzerland

2. Dr. Thomas Zürcher is at the Department of Mathematics and Statistics; University of Jyväskylä; Jyväskylä, Finland. A large part of the research was done when he was a postdoc at the Mathematical Institute, University of Bern Switzerland

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21621/fullpdf

Reference26 articles.

1. Spanning and derivative-security valuation;Bakshi;Journal of Financial Economics,2000

2. Static replication of forward-start claims and realized variance swaps;Baldeaux;Applied Mathematical Finance,2010

3. Hedging in financial markets;Baxter;Astin Bulletin,1998

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

5. Marktgerechte Bewertung von Optionen

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