Barrier options and their static hedges: simple derivations and extensions

DOI10.1080/14697680600690331zbMath1134.91458OpenAlexW2112837929MaRDI QIDQ3437386

Rolf Poulsen

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

zbMATH Keywords

barrier optionstatic hedging

Mathematics Subject Classification ID

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

Related Items (11)

An actuarial approach to pricing barrier options ⋮ Lookback option pricing for regime-switching jump diffusion models ⋮ Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion ⋮ Pricing down-and-out power options with exponentially curved barrier ⋮ Static versus dynamic hedges: an empirical comparison for barrier options ⋮ A forward started jump-diffusion model and pricing of cliquet style exotics ⋮ Optimal control of European double barrier basket options ⋮ Semi-static hedging for certain Margrabe-type options with barriers ⋮ PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS ⋮ Auto-static for the people: risk-minimizing hedges of barrier options ⋮ PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION

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

This page was built for publication: Barrier options and their static hedges: simple derivations and extensions