The authors are grateful to Rolf Burgermeister and Markus Liechti for useful hints from practice, to Peter L. Jørgensen, Thomas Kokholm, Thorsten Rheinländer, and an anonymous referee for theoretical hints, to Gabriel Maresch and Christoph Haberl for very helpful discussions, and to Peter Carr for drawing our attention to the problematics in this area. Our final special thanks go out to Ilya Molchanov for his support in all areas.
Static Hedging with Traffic Light Options
Article first published online: 3 MAY 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 7, pages 690–702, July 2014
How to Cite
Schmutz, M. and Zürcher, T. (2014), Static Hedging with Traffic Light Options. J. Fut. Mark., 34: 690–702. doi: 10.1002/fut.21621
- Issue published online: 2 JUN 2014
- Article first published online: 3 MAY 2013
- Manuscript Accepted: 10 MAR 2013
- Manuscript Received: 21 DEC 2012
- This work was supported by the Swiss National Science Foundation grant no. 200021–126503 and PBBEP3_130157 and the Finnish Academy grant no. 251650.
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