Chen, Yi-Ling; Luo, Hong-Yu; Tsai, Wei-Che; Zhang, Hang - In: Advances in Pacific Basin business, economics and finance 10 (2022), pp. 29-58
This research applies a static hedging portfolio method derived from Derman, Ergener, and Kani (1995) (henceforth Derman's SHP method) and a new SHP method with European cash-or-nothing binary options developed by Chung, Shih, and Tsai (2013) to price European continuous double barrier (ECDB)...
