Static Hedging under Time-Homogeneous Diffusions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/100818303
Reference22 articles.
1. Static replication of barrier options: some general results
2. Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
3. Static Hedging of Barrier Options with a Smile: An Inverse Problem
4. Asymptotics and calibration of local volatility models
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4. Carr–Nadtochiy’s weak reflection principle for Markov chains on $$\mathbf {Z}^d$$;Japan Journal of Industrial and Applied Mathematics;2020-08-06
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