A recursive method for static replication of autocallable structured products

DOI10.1080/14697688.2018.1523546zbMath1420.91470OpenAlexW2900852020MaRDI QIDQ5234318

Kyoung-Kuk Kim, Dong-Young Lim

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1523546

zbMATH Keywords

derivative pricingautocallable productsoptions replicationreverse convertibles

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing autocallables under local-stochastic volatility ⋮ Static replication of barrier-type options via integral equations

Cites Work

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• A jump to default extended CEV model: an application of Bessel processes
• The illusions of dynamic replication
• Optimal positioning in derivative securities
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• Exact Sampling of Jump Diffusions
• Linear integral equations

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