HEDGING DOUBLE BARRIERS WITH SINGLES

DOI10.1142/S0219024905002998MaRDI QIDQ3023924zbMATH OpenOpenAlexFDO

Authors Alessandro Sbuelz

Publication date 6 July 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024905002998

zbMATH Keywords

static hedgingsingle barrier options

Mathematics Subject Classification ID

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Cites work

• CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• The pricing of options and corporate liabilities

Cited in

(5)

• THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST
• Maximum drawdown insurance
• Real options maximizing survival probability under incomplete markets
• Barrier options and their static hedges: simple derivations and extensions
• Optimal control of European double barrier basket options

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