Barrier options and their static hedges: simple derivations and extensions

DOI10.1080/14697680600690331zbMath1134.91458MaRDI QIDQ3437386

Rolf Poulsen

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600690331

zbMATH Keywords

barrier option; static hedging

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work

• HEDGING DOUBLE BARRIERS WITH SINGLES
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Pricing Options With Curved Boundaries¹
• Pricing Barrier Options with Time–Dependent Coefficients
• Hedging lookback and partial lookback options using Malliavin calculus
• Arbitrage Theory in Continuous Time