## Abstract This study proposes a new scheme for static hedging of European path‐independent derivatives under stochastic volatility models. First, we show that pricing European path‐independent derivatives under stochastic volatility models is transformed to pricing those under one‐factor local vo
✦ LIBER ✦
Robust static hedging of barrier options in stochastic volatility models
✍ Scribed by J. H. Maruhn; E. W. Sachs
- Publisher
- Springer
- Year
- 2008
- Tongue
- English
- Weight
- 434 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0340-9422
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