Robust static hedging of barrier options in stochastic volatility models

DOI10.1007/s00186-008-0273-2zbMath1177.91131OpenAlexW2071987483MaRDI QIDQ1044210

Ekkehard W. Sachs, Jan H. Maruhn

Publication date: 11 December 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0273-2

zbMATH Keywords

stochastic volatilityrobust optimizationstatic hedgingbarrier options

Mathematics Subject Classification ID

Nonlinear programming (90C30) Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20)

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