HEDGING DOUBLE BARRIERS WITH SINGLES

DOI10.1142/S0219024905002998zbMath1113.91026OpenAlexW2158765561MaRDI QIDQ3023924

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

Related Items (5)

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

Cites Work

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

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