Static Hedging

Thorsten Rheinländer and Jenny Sexton
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Thorsten Rheinländer: London School of Economics and Political Science, UK
Jenny Sexton: University of Manchester, UK

Chapter 5 in Hedging Derivatives, 2011, pp 85-101 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Static hedging of European claimsDuality principle in option pricingDynamics of the dual processDuality relationsSymmetry and self-dual processesDefinitions and general propertiesSemi-static hedging of barrier optionsSelf-dual exponential Lévy processesSelf-dual stochastic volatility modelsNotes and further reading

Keywords: Hedging; Financial Derivatives; Martingale Measures; Incomplete Markets; Stochastic Volatility; Lévy Processes (search for similar items in EconPapers)
Date: 2011
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