Semi-robust static Hedging of Barrier Options
We explore how to put the theory on static hedges of barrier options into use. We discuss a polynomial expansion of the exact static hedge in a stationary diffusion model provided by [9] and we develop an explicit expression of an asymptotic static hedge, which is constructed to perform well for sho...
| Հիմնական հեղինակ: | |
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| Ձևաչափ: | Թեզիս |
| Հրապարակվել է: |
oxford university;mathematical institute
2011
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