SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS
Year of publication: |
2011
|
---|---|
Authors: | CARR, PETER |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 07, p. 1091-1111
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Static replication | barrier options | hedging jump processes | robust valuation | Poisson processes | arbitrage |
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