Duality in static hedging of barrier options

DOI10.1080/02331930902741762zbMath1159.91395OpenAlexW1985430956MaRDI QIDQ3625230

Jan H. Maruhn

Publication date: 12 May 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930902741762

zbMATH Keywords

dualitysemi-infinite optimizationstatic hedgingbarrier options

Mathematics Subject Classification ID

Related Items (2)

Comments on: Stability in linear optimization and related topics. A personal tour ⋮ Optimal control of European double barrier basket options

Cites Work

• Convex duality in constrained portfolio optimization
• Robust Hedging of Barrier Options
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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