Semi-robust replication of barrier-style claims on price and volatility
Year of publication: |
2021
|
---|---|
Authors: | Carr, Peter ; Lee, Roger ; Lorig, Matthew |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 6, p. 534-559
|
Subject: | barrier | knock-in | knock-out | quadratic variation | robust hedging | Robust pricing | Volatilität | Volatility | Hedging | Robustes Verfahren | Robust statistics | Optionspreistheorie | Option pricing theory | CAPM |
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