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First-order calculus and option pricing

Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010508100

Robust static hedging of barrier options in stochastic volatility models

Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433

Persistent link: https://www.econbiz.de/10003909254

Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

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A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier

Hertrich, Markus - In: Swiss journal of economics and statistics 151 (2015) 3, pp. 227-260

The put-call parity is free from distributional assumptions. It is tempting to assume that this parity also holds when an asset pricing model includes reflecting barriers. This paper shows that in the case of geometric Brownian motion with reflection such barriers cause the standard put-call...

Persistent link: https://www.econbiz.de/10011341666

Semi-static hedging of barrier options under poisson jumps

Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111

Persistent link: https://www.econbiz.de/10009407668

Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10010233614

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

Pricing and hedging basket options with exact moment matching

Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu - In: Insurance / Mathematics & economics 69 (2016), pp. 59-69

Persistent link: https://www.econbiz.de/10011530924

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Pricings and hedgings of the perpetual Russian options

Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10010508090

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