Exotic Options: Proofs Without Formulas

We review how reflection results can be used to give simple proofs of price formulas and derivations of static hedge portfolios for barrier and lookback options in the Black-Scholes model.

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Year of publication:	2004-09
Authors:	Poulsen, Rolf
Institutions:	Økonomisk Institut, Københavns Universitet

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Extent:	application/pdf
Series:	FRU Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2004/10 13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005543580