6 citations · 9 across the 2 of their papers we have counts for
2 papers
q-fin.RM2010★ 3 cited
Static replications with traffic light options
Michael Schmutz, Thomas Zürcher
It is well known that any sufficiently regular one-dimensional payoff function has an explicit static hedge by bonds, forward contracts and lots of vanilla options. We show that th…
q-fin.CP2008★ 6 cited
Geometric extension of put-call symmetry in the multiasset setting
Ilya Molchanov, Michael Schmutz
In this paper we show how to relate European call and put options on multiple assets to certain convex bodies called lift zonoids. Based on this, geometric properties can be transl…