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• W2047059930 abstract "We consider the problem of semistatic hedging of a single barrier option in a model where the underlying is a time-homogeneous diffusion, possibly running on an independent stochastic clock. The main result of the paper is an analytic expression for the payoff of a European-type contingent claim, which has the same price as the barrier option up to hitting the barrier. We then consider some examples, such as the Black–Scholes, constant elasticity of variance, and zero-correlation SABR models. Finally, we investigate an approximation of the static hedge with options of at most two different strikes." @default.
• W2047059930 created "2016-06-24" @default.
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• W2047059930 date "2011-01-01" @default.
• W2047059930 modified "2023-09-26" @default.
• W2047059930 title "Static Hedging under Time-Homogeneous Diffusions" @default.
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• W2047059930 doi "https://doi.org/10.1137/100818303" @default.
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