STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM

Claude Bardos, Raphael Douady () and Andrei Fursikov
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Claude Bardos: LJLL - Laboratoire Jacques-Louis Lions - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Andrei Fursikov: Moscow State University

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Abstract: Let L be a parabolic second order differential operator on the domain ¯ Π = [0, T ] × ℝ. Given a function û : ℝ → R and ^x > 0 such that the support of of û is contained in (−∞, −ˆx], we let ˆy : ¯ Π → Ê be the solution to the equation: Lˆy= 0, ^ y| {0}× ℝ = û. Given positive bounds 0

Keywords: Barrier options; inverse problem (search for similar items in EconPapers)
Date: 2002
Note: View the original document on HAL open archive server: https://hal.science/hal-01477102
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Published in ESAIM: Control, Optimisation and Calculus of Variations, 2002, 8, pp.127-142. ⟨10.1051/cocv:2002040⟩

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Working Paper: STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01477102

DOI: 10.1051/cocv:2002040

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