A remark on static hedging of options written on the last exit time

DOI10.1007/S11147-010-9059-9MaRDI QIDQ660160zbMATH OpenOpenAlexFDO

Authors Yuri Imamura

Publication date 26 January 2012

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-010-9059-9

zbMATH Keywords

Carr-Chou's symmetry formulaexotic optionlast exit timestatic hedging strategy

Mathematics Subject Classification ID

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

Recommendations

• On the pricing of options written on the last exit time
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Cites work

• On the pricing of options written on the last exit time
• Option prices as probabilities. A new look at generalized Black-Scholes formulae
• Put-call symmetry: extensions and applications
• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon

Cited in

(2)

• On the pricing of options written on the last exit time
• Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion

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