Optimal static-dynamic hedges for exotic options under convex risk measures

DOI10.1016/j.spa.2009.06.009zbMath1204.91120OpenAlexW3122343475MaRDI QIDQ734655

Aytaç İlhan, Mattias Jonsson, Ronnie Sircar

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.06.009

zbMATH Keywords

hedgingconvex risk measureexotic derivatives

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items

Hedging at-the-money digital options near maturity, Deep hedging

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