Semi-static hedging of barrier options under poisson jumps
Peter Carr
| Year of publication: |
2011
|
|---|---|
| Authors: | Carr, Peter |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 7, p. 1091-1111
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| Subject: | Static replication | barrier options | hedging jump processes | robust valuation | Poisson processes | arbitrage | Hedging | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009407668