SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES

DOI10.1142/S021902491650045XzbMath1396.91719OpenAlexW2518862996MaRDI QIDQ2836214

Junsen Tang, Carole Bernard

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491650045x

zbMATH Keywords

derivatives pricingpath-dependent derivativesderivatives hedgingsemi-static replication

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY ⋮ MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING ⋮ A new efficiency test for ranking investments: application to hedge fund performance

Cites Work

• Rationalizing investors' choices
• On the maximum of the generalized Brownian bridge
• A Continuity Correction for Discrete Barrier Options
• OPTIMALITY OF PAYOFFS IN LÉVY MODELS
• Efficient Options Pricing Using the Fast Fourier Transform
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

This page was built for publication: SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES