Static Hedging of Barrier Options with a Smile: An Inverse Problem

DOI10.1051/cocv:2002040zbMath1063.91028OpenAlexW2082606131MaRDI QIDQ4421087

Raphaël Douady, Claude Bardos, Andrei V. Fursikov

Publication date: 19 August 2003

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=COCV_2002__8__127_0

zbMATH Keywords

inverse problemsCarleman estimatesreplicationbarrier option hedging

Mathematics Subject Classification ID

Related Items (5)

Optimal static quadratic hedging ⋮ Multiasset Derivatives and Joint Distributions of Asset Prices ⋮ A Laplace transform finite difference method for the Black-Scholes equation ⋮ Static Hedging of Barrier Options with a Smile: An Inverse Problem ⋮ OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS

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