Schmutz, Michael; Zürcher, Thomas (2014). Static replications with traffic light options. Journal of Futures Markets, 34(7), pp. 690-702. Wiley 10.1002/fut.21621
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It is well known that sufficiently regular, one-dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and options in a continuum of strikes. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments along with traffic light options, which have recently been introduced in the market. It is well known that the second strike derivative of non-discounted prices of vanilla options is related to the risk-neutral density of the underlying asset price in the corresponding absolutely continuous settings. Similar statements hold for traffic light options in sufficiently regular, bivariate settings.
Item Type: |
Journal Article (Original Article) |
|---|---|
Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Schmutz, Michael, Zürcher, Thomas |
Subjects: |
500 Science > 510 Mathematics |
ISSN: |
0270-7314 |
Publisher: |
Wiley |
Language: |
English |
Submitter: |
Lutz Dümbgen |
Date Deposited: |
28 Jul 2015 11:34 |
Last Modified: |
05 Dec 2022 14:35 |
Publisher DOI: |
10.1002/fut.21621 |
BORIS DOI: |
10.7892/boris.53532 |
URI: |
https://boris.unibe.ch/id/eprint/53532 |
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