Chung, San-Lin; Shih, Pai-Ta; Tsai, Wei-Che - In: Journal of Banking & Finance 37 (2013) 1, pp. 191-205
This paper extends the static hedging portfolio (SHP) approach of Derman et al. (1995) and Carr et al. (1998) to price and hedge American knock-in put options under the Black–Scholes model and the constant elasticity of variance (CEV) model. We use standard European calls (puts) to construct...
