HEDGING DOUBLE BARRIERS WITH SINGLES

DOI10.1142/S0219024905002998zbMATH Open1113.91026OpenAlexW2158765561MaRDI QIDQ3023924FDOQ3023924

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

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zbMATH Keywords

static hedgingsingle barrier options

Mathematics Subject Classification ID

Cites Work

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

Cited In (5)

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

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