Breaking Barriers: Static Hedging of Barrier Securities
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منابع مشابه
Static Benefits Breaking Barriers
as a way to hedge barrier options when the underlying is a futures price with no drift. Derman, Ergener & Hani (1994) relaxed this drift restriction by introducing an algorithm for hedging barrier options in a bi-nomial model, using options with a single strike but multiple expiries. By contrast, this article provides explicit formulas for static hedges in the standard Black-Scholes (1973) mode...
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