30 citations · 44 across the 8 of their papers we have counts for
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q-fin.PR2008★ 2 cited
Semi-static hedging for certain Margrabe type options with barriers
Michael Schmutz
It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of…
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…