Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis.
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| Title: | Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis. |
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| Authors: | Maruhn, Jan H.1 (AUTHOR) jan.maruhn@unicreditgroup.de, Nalholm, Morten2 (AUTHOR), Fengler, Matthias R.3 (AUTHOR) |
| Source: | Quantitative Finance. May2011, Vol. 11 Issue 5, p711-727. 17p. 7 Charts, 8 Graphs. |
| Database: | Mathematics Source |
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| ISSN: | 14697688 |
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| DOI: | 10.1080/14697680903154241 |
