Barrier options and their static hedges: simple derivations and extensions

被引：16

作者：

Poulsen, Rolf ^{[1
]}

机构：

[1] Univ Copenhagen, Dept Appl Math & Stat, Inst Math Sci, DK-2100 Copenhagen, Denmark

来源：

QUANTITATIVE FINANCE | 2006年 / 6卷 / 04期

关键词：

barrier option; static hedging;

D O I：

10.1080/14697680600690331

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：327 / 335

页数：9

共 25 条

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