Multi-step barrier products and static hedging
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DOI: 10.1016/j.najef.2022.101676
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References listed on IDEAS
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Cited by:
- Lee, Hangsuck & Ko, Bangwon & Lee, Minha, 2023. "The pricing and static hedging of multi-step double barrier options," Finance Research Letters, Elsevier, vol. 55(PA).
- P Patel, Ravi & Nagababu, Garlapati & Kachhwaha, Surendra Singh & V V Arun Kumar, Surisetty & M, Seemanth, 2022. "Combined wind and wave resource assessment and energy extraction along the Indian coast," Renewable Energy, Elsevier, vol. 195(C), pages 931-945.
- Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023. "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
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More about this item
Keywords
Reflection principle; Multi-step reflection principle; Esscher transform; Barrier option; Multi-step barrier; Static hedging; Extended static hedging;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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