The Effect of Model Risk on the Valuation of Barrier Options

2003 ◽  
Vol 4 (2) ◽  
pp. 47-55 ◽  
Author(s):  
ALI HIRSA ◽  
GEORGES COURTADON ◽  
DILIP B. MADAN
Keyword(s):  
Barrier Options ◽  
Model Risk

Static hedging and model risk for barrier options

2006 ◽  
Vol 26 (5) ◽  
pp. 449-463 ◽  
Author(s):  
Morten Nalholm ◽  
Rolf Poulsen
Keyword(s):  
Barrier Options ◽  
Model Risk ◽  
Static Hedging

Discrete Asian barrier options

1999 ◽  
Vol 3 (1) ◽  
pp. 41-67 ◽  
Author(s):  
R Zvan ◽  
P Forsyth ◽  
K Vetzal
Keyword(s):  
Barrier Options

Dynamic mean-variance portfolio analysis under model risk

2009 ◽  
Vol 12 (4) ◽  
pp. 91-115 ◽  
Author(s):  
Daniel Kuhn ◽  
Panos Parpas ◽  
Berç Rustem ◽  
Raquel Fonseca
Keyword(s):  
Portfolio Analysis ◽  
Model Risk ◽  
Mean Variance Portfolio ◽  
Mean Variance

Static Replication of Barrier Options: Some General Results

2000 ◽  
Author(s):  
Leif B.G. Andersen ◽  
Jesper Andreasen ◽  
David A. Eliezer
Keyword(s):  
Barrier Options
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