Static Replication of Barrier Options: Some General Results
نویسندگان
چکیده
This paper presents a number of new theoretical results for replication of barrier options through a static portfolio of European put and call options. Our results are valid for options with completely general knock-out/knock-in sets, and allow for timeand state-dependents volatility as well as discontinuous asset dynamics. We illustrate the theory with numerical examples and discuss the practical implementation.
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Static replication of exotic options
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