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Publications by Raphaël Douady

Static Hedging of Barrier Options With a Smile: An Inverse Problem

ESAIM - Control, Optimisation and Calculus of Variations

Computational Mathematics

Systems Engineering

English

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Efficient Hedging of Options With Probabilistic Haar Wavelets

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Pricing Multi-Asset Options With an External Barrier

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Commodity Options as an Alternative to Hedging Live Cattle

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Pricing and Hedging Basket Options With Exact Moment Matching

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An Inverse Eigenvalue Problem.

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Efficient Computation of Hedging Portfolios for Options With Discontinuous Payoffs

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Hedging of American Options Under Transaction Costs

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