Semi-static hedging for certain Margrabe-type options with barriers
type: Item
instance of: scholarly article
title: Semi-static hedging for certain Margrabe-type options with barriers
zbMATH Open document ID: 1221.91049
DOI: 10.1080/14697688.2010.497494
author: Michael Schmutz
published in: Quantitative Finance
publication date: 2011-08-19T00:00:00Z
full work available at URL: https://arxiv.org/abs/0810.5146
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5940881
MaRDI profile type: Publication
OpenAlex ID: W1979500110
arXiv ID: 0810.5146
cites work: Change of Time and Change of Measure
cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
cites work: On the duality principle in option pricing: semimartingale setting
cites work: Esscher transform and the duality principle for multidimensional semimartingales
cites work: A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
cites work: PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
cites work: Symmetry and duality in Lévy markets
cites work: Multivariate Extension of Put-Call Symmetry
cites work: Barrier options and their static hedges: simple derivations and extensions
cites work: Q4937701
description: scientific article