Static hedging and model risk for barrier options

By Morten Nalholm, Rolf Poulsen. 2006

56 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/29032156960364eb2dcc00ec2e3be421e8f245e9

How researchers see this paper

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In Finance

1. Roger Lee
2. Peter P. Carr
3. Peter Tankov
4. V. Todorov
5. Martin Keller‐Ressel
6. Liuren Wu
7. Roger Lee
8. Jan Kallsen

Citations in the corpus

• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009, methodology): “For hedging of barrier options, particular cases of these semi-static strategies have been shown to outperform dynamic delta-hedging strategies in Carr-Wu’s [10] empirical tests on JPY-USD and GBP-USD data, and in Nalholm-Poulsen’s [16] simulations of four skew-consistent models.”