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OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS - MaRDI portal

OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (Q5488979)

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scientific article; zbMATH DE number 5056726
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English
OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
scientific article; zbMATH DE number 5056726

    Statements

    title
    OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (English)
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    author
    Aytaç İlhan
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    Ronnie Sircar
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    publication date
    25 September 2006
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    zbMATH Keywords
    hedging
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    derivative securities
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    stochastic control
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    indifference pricing
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    stochastic volatility
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    cites work
    Q2722587
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    Q4086303
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    Q4032143
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    Q3910361
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60H10
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    60H30
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    93E20
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    zbMATH DE Number
    5056726
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    OpenAlex ID
    W2052920925
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