Barrier options and their static hedges: simple derivations and extensions
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Publication:3437386
DOI10.1080/14697680600690331zbMath1134.91458MaRDI QIDQ3437386
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
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