Robust static hedging of barrier options in stochastic volatility models
Year of publication: |
2009
|
---|---|
Authors: | Maruhn, J. ; Sachs, E. |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 70.2009, 3, p. 405-433
|
Publisher: |
Springer |
Subject: | Robust optimization | Static hedging | Barrier options | Stochastic volatility |
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