A remark on static hedging of options written on the last exit time (Q660160): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1007/s11147-010-9059-9 / rank | |||
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| Property / OpenAlex ID: W2055362375 / rank | |||
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| Property / cites work: On the pricing of options written on the last exit time / rank | |||
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| Property / cites work: PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS / rank | |||
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| Property / cites work: Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon / rank | |||
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| Property / cites work: Option prices as probabilities. A new look at generalized Black-Scholes formulae / rank | |||
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Latest revision as of 21:32, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A remark on static hedging of options written on the last exit time |
scientific article |
Statements
A remark on static hedging of options written on the last exit time (English)
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26 January 2012
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static hedging strategy
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exotic option
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last exit time
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Carr-Chou's symmetry formula
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