Similar Search Results

Di Graziano, Giuseppe; Torricelli, Lorenzo - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10009562145

Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach

Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363

Persistent link: https://www.econbiz.de/10010357372

Robust hedging and pathwise calculus

Tikanmäki, Heikki - In: Applied mathematical finance 20 (2013) 3/4, pp. 287-303

Persistent link: https://www.econbiz.de/10010187664

Superreplication of financial derivatives via convex programming

Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339

Persistent link: https://www.econbiz.de/10011729383

Robust deep hedging

Lütkebohmert-Holtz, Eva; Falk, Thorsten; Sester, Julian - In: Quantitative finance 22 (2022) 8, pp. 1465-1480

Persistent link: https://www.econbiz.de/10013367922

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

Robust Static Super-Replication of Barrier Options.

Maruhn, Jan H. - 2009

Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To …Frontmatter -- Contents -- 1. Theoretical Background -- 2. Static Hedging of Barrier Options -- 3. An Optimization … prevent potentially significant hedging losses this book develops a static super-replication strategy with market …