SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS

DOI10.1142/S0219024911006668zbMath1229.91299OpenAlexW2101665573MaRDI QIDQ3107931

Peter Carr

Publication date: 28 December 2011

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

Full work available at URL: https://doi.org/10.1142/s0219024911006668

zbMATH Keywords

arbitragePoisson processesbarrier optionshedging jump processesrobust valuationstatic replication

Mathematics Subject Classification ID

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

Related Items (4)

Dynamic conic hedging for competitiveness ⋮ Fractional Skellam processes with applications to finance ⋮ MAXIMUM DRAWDOWN INSURANCE ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation

Cites Work

• The Frequency Distribution of the Difference between Two Independent Variates following the same Poisson Distribution
• The Frequency Distribution of the Difference Between Two Poisson Variates Belonging to Different Populations

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