Static hedging and model risk for barrier options
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference15 articles.
1. Static replication of barrier options: some general results
2. Static Hedging of Exotic Options
3. The Constant Elasticity of Variance Option Pricing Model
4. Static Options Replication
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1. A model‐free approximation for barrier options in a general stochastic volatility framework;Journal of Futures Markets;2024-03-11
2. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff, Agent's Utility, and Pricing Kernel Distributions;2024
3. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff, Agent's Utility, and Pricing Kernel Distributions;2024
4. The pricing and static hedging of multi-step double barrier options;Finance Research Letters;2023-07
5. Subjective Probability Distributions of Nonlinear Payoffs: Recovering Option Payoff and Agent's Utility Distributions;SSRN Electronic Journal;2023
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