SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS (Q3107931)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS |
scientific article |
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SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS (English)
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28 December 2011
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static replication
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barrier options
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hedging jump processes
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robust valuation
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Poisson processes
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arbitrage
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