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Hedging under alternative stickiness assumptions: an empirical analysis for barrier options

Matthias Fengler, Bernd Engelmann & Peter Schwendner

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abstract
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-9-2009
journal Journal of Risk
publisher Incisive Media
ISSN 1465-1211
volume of journal 12
number of issue 1
page(s) 53-77
review double-blind review
   
citation Fengler, M., Engelmann, B., & Schwendner, P. (2009). Hedging under alternative stickiness assumptions: an empirical analysis for barrier options. Journal of Risk, 12(1), 53-77.