Static Hedging under Time-Homogeneous Diffusions

DOI10.1137/100818303zbMath1247.91182OpenAlexW2047059930MaRDI QIDQ5388686

Sergey Nadtochiy, Peter Carr

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6c15d8f4c973ea03e339d96592a7de1da88ba554

zbMATH Keywords

Laplace transformmethod of imagesinverse transformSturm-Liouville theorystatic hedgingbarrier optionstime-homogeneous diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Inverse problems for integral equations (45Q05)

Related Items (8)

Optimal static quadratic hedging ⋮ A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility ⋮ Weak reflection principle for Lévy processes ⋮ Hedging error as generalized timing risk ⋮ ROBUST TRADING OF IMPLIED SKEW ⋮ Model uncertainty and the pricing of American options ⋮ Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) ⋮ Static replication of barrier-type options via integral equations

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