Static hedging of barrier options with a smile: An inverse problem

ESAIM - Control, Optimisation and Calculus of Variations

Volumn 8, Issue , 2002, Pages 127-142

  Bardos, Claude ^a   Douady, Raphaël ^b   Fursikov, Andrei ^c  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b Inserm   (France)

^c MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Barrier option hedging; Carleman estimates; Inverse problems; Replication

Indexed keywords

BARRIER OPTION HEDGING; CARLEMAN ESTIMATES; STATIC HEDGING;

APPROXIMATION THEORY; DIFFERENTIAL EQUATIONS; FUNCTIONAL ANALYSIS; PROBLEM SOLVING;

INVERSE PROBLEMS;

EID: 33644970511     PISSN: 12928119     EISSN: 12623377     Source Type: Journal    
DOI: 10.1051/cocv:2002040     Document Type: Article

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