Barrier options and their static hedges: simple derivations and extensions

We use a reflection result to give simple proofs of (well-known) valuation formulas and static hedge portfolio constructions for zero-rebate single-barrier options in the Black-Scholes model. We then illustrate how to extend the ideas to other model types giving (at least) easy-to-program numerical methods and other option types such as options with rebates, and double-barrier and lookback options.

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Year of publication:	2006
Authors:	Poulsen, Rolf
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 4, p. 327-335
Publisher:	Taylor & Francis Journals
Subject:	Barrier option \| Static hedging

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495754