A Stieltjes Approach to Static Hedges

DOI10.1007/978-3-319-02069-3_24zbMath1418.91537OpenAlexW2503464WikidataQ112006638 ScholiaQ112006638MaRDI QIDQ4561949

Michael Schmutz, Thomas Zürcher

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_24

zbMATH Keywords

bounded variationStieltjes integralabsolute continuitystatic hedging

Mathematics Subject Classification ID

Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Advanced analysis on the real line
• Analysis, Geometry, and Modeling in Finance
• Static Replication of Forward-Start Claims and Realized Variance Swaps
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• The Lebesgue-Stieltjes Integral
• Optimal positioning in derivative securities
• Financial Modelling with Jump Processes
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