A Parisian option is a variant of a barrier option such that its payment is activated or deactivated only if the underlying asset remains above or below a barrier over a certain amount of time. We show that its complex payoff feature can cause dynamic hedging to fail. As an alternative, we...

This study provides a systematic and unified approach for constructing exact and staticreplications for exotic options, using the theory of integral equations. In particular, we focus onbarrier-type options including standard, double and sequential barriers. Our primary approachto static options...