Robust Static Super-Replication of Barrier Options in the Black-Scholes model

DOI10.1007/0-387-28654-3_7zbMath1157.91367OpenAlexW2187842972MaRDI QIDQ3592848

Ekkehard W. Sachs, Jan H. Maruhn

Publication date: 24 September 2007

Published in: Robust Optimization-Directed Design (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-28654-3_7

zbMATH Keywords

Black-Scholes modelrobust optimizationsuper-replicationstatic hedgingbarrier options

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Semi-infinite programming (90C34) Derivative securities (option pricing, hedging, etc.) (91G20)

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A successive SDP-NSDP approach to a robust optimization problem in finance ⋮ Robust static hedging of barrier options in stochastic volatility models

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