𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

✍ Scribed by Hans-Peter Bermin


Book ID
108550504
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
205 KB
Volume
12
Category
Article
ISSN
0960-1627

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Robust Hedging of Double Touch Barrier O
✍ Cox, A. M. G.; Obloj, Jan πŸ“‚ Article πŸ“… 2011 πŸ› Society for Industrial and Applied Mathematics 🌐 English βš– 570 KB
Double barrier hitting time distribution
✍ X. Sheldon Lin πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 601 KB

In this paper we derive two defective density functions related to double barrier hitting probabilities of a geometric Brownian motion. A technique developed by Gerber and Shiu (1994, 1996) and Laplace transforms are used. Our approach is simple and straightforward, and purely analytical. We then ap