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

DOI10.1007/s11147-010-9059-9zbMath1232.91667OpenAlexW2055362375MaRDI QIDQ660160

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

exotic optionlast exit timeCarr-Chou's symmetry formulastatic hedging strategy

Mathematics Subject Classification ID

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

Related Items (1)

Semi-static hedging based on a generalized reflection principle on a multi dimensional Brownian motion

Cites Work

• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
• 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

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