Robust static hedging of barrier options in stochastic volatility models
type: Item
instance of: scholarly article
title: Robust static hedging of barrier options in stochastic volatility models
zbMATH Open document ID: 1177.91131
published in: Mathematical Methods of Operations Research
publication date: 2009-12-11T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 90C34
zbMATH DE Number: 5645692
zbMATH Keywords: robust optimization
zbMATH Keywords: static hedging
zbMATH Keywords: barrier options
zbMATH Keywords: stochastic volatility
author: Jan H. Maruhn
author: Ekkehard W. Sachs
MaRDI profile type: Publication
full work available at URL: s00186-008-0273-2
OpenAlex ID: W2071987483
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DOI: 10.1007/S00186-008-0273-2
description: scientific article; zbMATH DE number 5645692