Optimal static-dynamic hedges for barrier options

Mathematical Finance

Volumn 16, Issue 2, 2006, Pages 359-385

  Ilhan, Aytaç ^a   Sircar, Ronnie ^b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b Princeton University   (United States)

Author keywords

Derivative securities; Hedging; Indifference pricing; Stochastic control; Stochastic volatility

Indexed keywords

EID: 33644982629     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00275.x     Document Type: Article

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