Static replication of barrier-type options via integral equations

DOI10.1080/14697688.2020.1817973zbMath1466.91343OpenAlexW3094473524MaRDI QIDQ4991074

Dong-Young Lim, Kyoung-Kuk Kim

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://www.pure.ed.ac.uk/ws/files/152830254/SSRN_id3127289.pdf

zbMATH Keywords

integral equationsexotic optionsstatic hedgingbarrier optionsMarkovian diffusion with killing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Volterra integral equations (45D05)

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