Multi-step barrier products and static hedging

Author:

Lee Hangsuck,Choi Yang Ho,Lee GaeunORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference28 articles.

1. Some pricing tools for the variance gamma model;Aguilar;International Journal of Theoretical and Applied Finance,2020

2. Closed-form option pricing for exponential Lévy models: a residue approach. available at ssrn 3823337;Aguilar,2021

3. Static replication of barrier options: Some general results;Andersen;Journal of Computational Finance,2002

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. Option pricing under a mixed-exponential jump diffusion model;Cai;Management Science,2011

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Min–max multi-step barrier options and their variants;The North American Journal of Economics and Finance;2023-07

2. The pricing and static hedging of multi-step double barrier options;Finance Research Letters;2023-07

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