Static Hedging of Barrier Options with a Smile: An Inverse Problem-Reference-Cited by-同舟云学术

Static Hedging of Barrier Options with a Smile: An Inverse Problem

Published:2002 Issue: Volume:8 Page:127-142
ISSN:1292-8119
Container-title:ESAIM: Control, Optimisation and Calculus of Variations
language:
Short-container-title:ESAIM: COCV

Author:

Bardos Claude,Douady Raphaël,Fursikov Andrei

Publisher

EDP Sciences

Subject

Computational Mathematics,Control and Optimization,Control and Systems Engineering

Link

http://www.esaim-cocv.org/10.1051/cocv:2002040/pdf

Reference54 articles.

1. L. Andersen, J. Andreasen and D. Eliezer,Static Replication of Barrier Options: Some General Results.Preprint Gen. Re Fin. Prod. (2000).

2. Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

3. C. Bardos, R. Douady and A. Fursikov,Static Hedging of Barrier Options with a Smile: An Inverse Problem,Preprint CMLA No. 9810. École Normale Supérieure de Cachan (1998).

4. The Pricing of Options and Corporate Liabilities

5. P. Carr and A. Chou,Breaking Barriers.RISK (1997) 139-145.

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