SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    José Fajardo, Barrier Style Contracts under Lévy Processes: an Alternative Approach, Journal of Banking & Finance, 2015,

    CrossRef

  2. 2
    Peter Buchen, Hamish Malloch, CLA’s, PLA’s and a new method for pricing general passport options, Quantitative Finance, 2014, 14, 7, 1201

    CrossRef

  3. 3
    Marcos Escobar, Peter Hieber, Matthias Scherer, Efficiently pricing double barrier derivatives in stochastic volatility models, Review of Derivatives Research, 2014, 17, 2, 191

    CrossRef

  4. 4
    Selim Gökay, Halil Mete Soner, Hedging in an illiquid binomial market, Nonlinear Analysis: Real World Applications, 2014, 16, 1

    CrossRef

  5. 5
    Wei-Che Tsai, Improved method for static replication under the CEV model, Finance Research Letters, 2014, 11, 3, 194

    CrossRef

  6. 6
    José Carlos Dias, João Pedro Vidal Nunes, João Pedro Ruas, Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model, Quantitative Finance, 2014, 1

    CrossRef

  7. 7
    Yukihiro Tsuzuki, Pricing Bounds on Barrier Options, Journal of Futures Markets, 2014, 34, 12
  8. 8
    José Fajardo, Ernesto Mordecki, Skewness premium with Lévy processes, Quantitative Finance, 2014, 14, 9, 1619

    CrossRef

  9. 9
    Shuai Wang, Yang Shen, Linyi Qian, Static Hedging of Geometric Average Asian Options with Standard Options, Communications in Statistics - Simulation and Computation, 2014, 00

    CrossRef

  10. 10
    Philipp A. Mayer, Natalie Packham, Wolfgang M. Schmidt, Static hedging under maturity mismatch, Finance and Stochastics, 2014,

    CrossRef

  11. 11
    Christine A. Brown, John C. Handley, Ken Palmer, A Closer Look at Barrier Exchange Options, Journal of Futures Markets, 2013, 33, 1
  12. 12
    João Pedro Ruas, José Carlos Dias, João Pedro Vidal Nunes, Pricing and static hedging of American-style options under the jump to default extended CEV model, Journal of Banking & Finance, 2013, 37, 11, 4059

    CrossRef

  13. 13
    Doobae Jun, Hyejin Ku, PRICING CHAINED OPTIONS WITH CURVED BARRIERS, Mathematical Finance, 2013, 23, 4
  14. 14
    Yuri Imamura, Katsuya Takagi, Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion, Asia-Pacific Financial Markets, 2013, 20, 1, 71

    CrossRef

  15. 15
    San-Lin Chung, Pai-Ta Shih, Wei-Che Tsai, Static hedging and pricing American knock-in put options, Journal of Banking & Finance, 2013, 37, 1, 191

    CrossRef

  16. 16
    San-Lin Chung, Pai-Ta Shih, Wei-Che Tsai, Static Hedging and Pricing American Knock-Out Options, The Journal of Derivatives, 2013, 20, 4, 23

    CrossRef

  17. 17
    R. Kozhan, A. Neuberger, P. Schneider, The Skew Risk Premium in the Equity Index Market, Review of Financial Studies, 2013, 26, 9, 2174

    CrossRef

  18. 18
    Yi Hong, Valuation Bounds on Barrier Options Under Model Uncertainty, Journal of Futures Markets, 2013, 33, 3
  19. 19
    Peter Carr, Travis Fisher, Johannes Ruf, Why Are Quadratic Normal Volatility Models Analytically Tractable?, SIAM Journal on Financial Mathematics, 2013, 4, 1, 185

    CrossRef

  20. 20
    Claymore Marshall, Mary Hardy, David Saunders, Measuring the Effectiveness of Static Hedging Strategies for a Guaranteed Minimum Income Benefit, North American Actuarial Journal, 2012, 16, 2, 143

    CrossRef

  21. 21
    CARLO MARINELLI, STEFANO D'ADDONA, SVETLOZAR T. RACHEV, MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION, International Journal of Theoretical and Applied Finance, 2012, 15, 04, 1250029

    CrossRef

  22. 22
    R. V. Ivanov, A. N. Shiryaev, On Duality Principle for Hedging Strategies in Diffusion Models, Theory of Probability & Its Applications, 2012, 56, 3, 376

    CrossRef

  23. 23
    Adam Kolkiewicz, Yan Liu, Semi-Static Hedging for GMWB in Variable Annuities, North American Actuarial Journal, 2012, 16, 1, 112

    CrossRef

  24. 24
    Tim Leung, Sequential static-Dynamic Hedging for Long-term Derivatives, Procedia Computer Science, 2012, 9, 1211

    CrossRef

  25. 25
    Yuri Imamura, A remark on static hedging of options written on the last exit time, Review of Derivatives Research, 2011, 14, 3, 333

    CrossRef

  26. 26
    PETER CARR, HONGZHONG ZHANG, OLYMPIA HADJILIADIS, MAXIMUM DRAWDOWN INSURANCE, International Journal of Theoretical and Applied Finance, 2011, 14, 08, 1195

    CrossRef

  27. 27
    R. H. W. Hoppe, T. Lipp, Optimal control of European double barrier basket options, Journal of Numerical Mathematics, 2011, 19, 2

    CrossRef

  28. 28
    A. M. G. Cox, Jan Obloj, Robust Hedging of Double Touch Barrier Options, SIAM Journal on Financial Mathematics, 2011, 2, 1, 141

    CrossRef

  29. 29
    Michael Schmutz, Semi-static hedging for certain Margrabe-type options with barriers, Quantitative Finance, 2011, 11, 7, 979

    CrossRef

  30. 30
    Jan H. Maruhn, Morten Nalholm, Matthias R. Fengler, Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis, Quantitative Finance, 2011, 11, 5, 711

    CrossRef

  31. 31
    Peter Carr, Sergey Nadtochiy, Static Hedging under Time-Homogeneous Diffusions, SIAM Journal on Financial Mathematics, 2011, 2, 1, 794

    CrossRef

  32. 32
    Geng Deng, Ilan Guedj, Joshua Mallett, Craig McCann, The Anatomy of Principal-Protected Absolute Return Barrier Notes, The Journal of Derivatives, 2011, 19, 2, 61

    CrossRef

  33. 33
    Роман Валерьевич Иванов, Roman Valer'evich Ivanov, Альберт Николаевич Ширяев, Albert Nikolaevich Shiryaev, О принципе дуальности для хеджирующих стратегий в диффузионных моделях, Теория вероятностей и ее применения, 2011, 56, 3, 417

    CrossRef

  34. 34
    Gabriel G. Drimus, A forward started jump-diffusion model and pricing of cliquet style exotics, Review of Derivatives Research, 2010, 13, 2, 125

    CrossRef

  35. 35
    San-Lin Chung, Pai-Ta Shih, Wei-Che Tsai, A modified static hedging method for continuous barrier options, Journal of Futures Markets, 2010, 30, 12
  36. 36
    MICHI NISHIHARA, MUTSUNORI YAGIURA, TOSHIHIDE IBARAKI, COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS, Asia-Pacific Journal of Operational Research, 2010, 27, 02, 211

    CrossRef

  37. 37
    Espen Gaarder Haug, Stein Frydenberg, Sjur Westgaard, Distribution and Statistical Behavior of Implied Volatilities, Business Valuation Review, 2010, 29, 4, 186

    CrossRef

  38. 38
    Aleksandar Mijatović, Local time and the pricing of time-dependent barrier options, Finance and Stochastics, 2010, 14, 1, 13

    CrossRef

  39. 39
    Ilya Molchanov, Michael Schmutz, Multivariate Extension of Put-Call Symmetry, SIAM Journal on Financial Mathematics, 2010, 1, 1, 396

    CrossRef

  40. 40
    Mariyan Milev, Aldo Tagliani, Numerical valuation of discrete double barrier options, Journal of Computational and Applied Mathematics, 2010, 233, 10, 2468

    CrossRef

  41. 41
    Qiang Liu, Optimal approximations of nonlinear payoffs in static replication, Journal of Futures Markets, 2010, 30, 11
  42. 42
    Dirk Becherer, Ian Ward, Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives, Applied Mathematical Finance, 2010, 17, 1, 1

    CrossRef

  43. 43
    Jan Baldeaux, Marek Rutkowski, Static Replication of Forward-Start Claims and Realized Variance Swaps, Applied Mathematical Finance, 2010, 17, 2, 99

    CrossRef

  44. 44
    Umberto Cherubini, Silvia Romagnoli, THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS, Mathematical Finance, 2010, 20, 1
  45. 45
    San-Lin Chung, Mao-Wei Hung, Jr-Yan Wang, Tight bounds on American option prices, Journal of Banking & Finance, 2010, 34, 1, 77

    CrossRef

  46. 46
    Akihiko Takahashi, Akira Yamazaki, A new scheme for static hedging of European derivatives under stochastic volatility models, Journal of Futures Markets, 2009, 29, 5
  47. 47
    F. Leibfritz, J. H. Maruhn, A successive SDP-NSDP approach to a robust optimization problem in finance, Computational Optimization and Applications, 2009, 44, 3, 443

    CrossRef

  48. 48
    Johannes Siven, Rolf Poulsen, Auto-static for the people: risk-minimizing hedges of barrier options, Review of Derivatives Research, 2009, 12, 3, 193

    CrossRef

  49. 49
    J.H. Maruhn, Duality in static hedging of barrier options, Optimization, 2009, 58, 3, 319

    CrossRef

  50. 50
    J. S. Kennedy, P. A. Forsyth, K. R. Vetzal, Dynamic Hedging Under Jump Diffusion with Transaction Costs, Operations Research, 2009, 57, 3, 541

    CrossRef

  51. 51
    Akihiko Takahashi, Akira Yamazaki, Efficient static replication of European options under exponential Lévy models, Journal of Futures Markets, 2009, 29, 1
  52. 52
    Tim Leung, Ronnie Sircar, Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation, SIAM Journal on Control and Optimization, 2009, 48, 3, 1422

    CrossRef

  53. 53
    Carol Alexander, Andreas Kaeck, Leonardo M. Nogueira, Model risk adjusted hedge ratios, Journal of Futures Markets, 2009, 29, 11
  54. 54
    Peter Carr, Roger Lee, PUT-CALL SYMMETRY: EXTENSIONS AND APPLICATIONS, Mathematical Finance, 2009, 19, 4
  55. 55
    J. H. Maruhn, E. W. Sachs, Robust static hedging of barrier options in stochastic volatility models, Mathematical Methods of Operations Research, 2009, 70, 3, 405

    CrossRef

  56. 56
    San-Lin Chung, Pai-Ta Shih, Static hedging and pricing American options, Journal of Banking & Finance, 2009, 33, 11, 2140

    CrossRef

  57. 57
    San-Lin Chung, Yaw-Huei Wang, Bounds and prices of currency cross-rate options, Journal of Banking & Finance, 2008, 32, 5, 631

    CrossRef

  58. 58
    B. Peeters, C. L. Dert, A. Lucas, Hedging Large Portfolios of Options in Discrete Time*, Applied Mathematical Finance, 2008, 15, 3, 251

    CrossRef

  59. 59
    Tristan Guillaume, Making the best of best-of, Review of Derivatives Research, 2008, 11, 1-2, 1

    CrossRef

  60. 60
    Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev, On the duality principle in option pricing: semimartingale setting, Finance and Stochastics, 2008, 12, 2, 265

    CrossRef

  61. 61
    Mark Broadie, Ashish Jain, Pricing and Hedging Volatility Derivatives, The Journal of Derivatives, 2008, 15, 3, 7

    CrossRef

  62. 62
    Gilneu F A Vivan, Benjamin M Tabak, A new proposal for collection and generation of information on financial institutions' risk: The case of derivatives, Journal of Derivatives & Hedge Funds, 2007, 13, 2, 147

    CrossRef

  63. 63
    Carol Alexander, Leonardo M. Nogueira§, Model-free price hedge ratios for homogeneous claims on tradable assets, Quantitative Finance, 2007, 7, 5, 473

    CrossRef

  64. 64
    Holger Kraft, Pitfalls in static superhedging of barrier options, Finance Research Letters, 2007, 4, 1, 2

    CrossRef

  65. 65
    Sascha Wilkens, Pavel A. Stoimenov, The pricing of leverage products: An empirical investigation of the German market for ‘long’ and ‘short’ stock index certificates, Journal of Banking & Finance, 2007, 31, 3, 735

    CrossRef

  66. 66
    Rolf Poulsen, Barrier options and their static hedges: simple derivations and extensions, Quantitative Finance, 2006, 6, 4, 327

    CrossRef

  67. 67
    Antje Mahayni, Michael Suchanecki, Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten, Zeitschrift für Betriebswirtschaft, 2006, 76, 4, 347

    CrossRef

  68. 68
    Morten Nalholm, Rolf Poulsen, Static hedging and model risk for barrier options, Journal of Futures Markets, 2006, 26, 5
  69. 69
    Morten Nalholm, Rolf Poulsen, Static Hedging of Barrier Options under General Asset Dynamics, The Journal of Derivatives, 2006, 13, 4, 46

    CrossRef

  70. 70
    Bernd Engelmann, Matthias R. Fengler, Morten Nalholm, Peter Schwendner, Static versus dynamic hedges: an empirical comparison for barrier options, Review of Derivatives Research, 2006, 9, 3, 239

    CrossRef

  71. 71
    ERNST EBERLEIN, WOLFGANG KLUGE, ANTONIS PAPAPANTOLEON, SYMMETRIES IN LÉVY TERM STRUCTURE MODELS, International Journal of Theoretical and Applied Finance, 2006, 09, 06, 967

    CrossRef

  72. 72
    ALESSANDRO SBUELZ, HEDGING DOUBLE BARRIERS WITH SINGLES, International Journal of Theoretical and Applied Finance, 2005, 08, 03, 393

    CrossRef

  73. 73
    San-Lin Chung, Mark B. Shackleton, On the use and improvement of Hull and White's control variate technique, Applied Financial Economics, 2005, 15, 16, 1171

    CrossRef

  74. 74
    Hansjörg Albrecher, Jan Dhaene, Marc Goovaerts, Wim Schoutens, Static Hedging of Asian Options under Lévy Models, The Journal of Derivatives, 2005, 12, 3, 63

    CrossRef

  75. 75
    P. Pellizzari, Static hedging of multivariate derivatives by simulation, European Journal of Operational Research, 2005, 166, 2, 507

    CrossRef

  76. 76
    Jason Fink, An examination of the effectiveness of static hedging in the presence of stochastic volatility, Journal of Futures Markets, 2003, 23, 9
  77. 77
    Jacek Gondzio, Roy Kouwenberg, Ton Vorst, Hedging options under transaction costs and stochastic volatility, Journal of Economic Dynamics and Control, 2003, 27, 6, 1045

    CrossRef

  78. 78
    Antoon Pelsser, Pricing and hedging guaranteed annuity options via static option replication, Insurance: Mathematics and Economics, 2003, 33, 2, 283

    CrossRef

  79. 79
    Grace C.H Kuan, Nick Webber, Pricing Barrier Options with One-Factor Interest Rate Models, The Journal of Derivatives, 2003, 10, 4, 33

    CrossRef

  80. 80
    Jun Sekine, On superhedging under delta constraints, Applied Mathematical Finance, 2002, 9, 2, 103

    CrossRef

  81. 81
    ROBERT G. TOMPKINS, Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation, The Journal of Risk Finance, 2002, 3, 4, 6

    CrossRef

  82. 82
    Mark A Cassano, How Well Can Options Complete Markets?, The Journal of Derivatives, 2001, 9, 2, 7

    CrossRef

  83. 83
    ROGER W. LEE, IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY, International Journal of Theoretical and Applied Finance, 2001, 04, 01, 45

    CrossRef

  84. 84
    GEORGE SKIADOPOULOS, VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY, International Journal of Theoretical and Applied Finance, 2001, 04, 03, 403

    CrossRef

  85. 85
    Bin Gao, Jing-zhi Huang, Marti Subrahmanyam, The valuation of American barrier options using the decomposition technique, Journal of Economic Dynamics and Control, 2000, 24, 11-12, 1783

    CrossRef

  86. 86
    Peter Carr, Jean-Francois Picron, Static Hedging of Timing Risk, The Journal of Derivatives, 1999, 6, 3, 57

    CrossRef

  87. 87
    Alexander Cox, Arbitrage Bounds, Encyclopedia of Quantitative Finance,
  88. 88
    Bibliography,
  89. 89
    Bibliography,
  90. 90
    Marek Rutkowski, Complete Markets, Encyclopedia of Quantitative Finance,
  91. 91
    References,
  92. 92
    Stein-Erik Fleten, Jussi Keppo, Erkka Näsäkkälä, Risk Management in Electric Utilities,
  93. 93
    Rolf Poulsen, Static Hedging, Encyclopedia of Quantitative Finance,