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

Static Hedging of Barrier Options with a Smile: An Inverse Problem (Q4421087)

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scientific article; zbMATH DE number 1967370
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English
Static Hedging of Barrier Options with a Smile: An Inverse Problem
scientific article; zbMATH DE number 1967370

    Statements

    title
    Static Hedging of Barrier Options with a Smile: An Inverse Problem (English)
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    author
    Claude Bardos
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    Raphaël Douady
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    Andrei V. Fursikov
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    publication date
    19 August 2003
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    zbMATH Keywords
    inverse problems
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    Carleman estimates
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    barrier option hedging
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    replication
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    Identifiers

    DOI
    10.1051/cocv:2002040
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    Mathematics Subject Classification ID
    91B28
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    93E20
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    60H10
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    60H30
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    93B05
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    zbMATH DE Number
    1967370
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    OpenAlex ID
    W2082606131
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