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Hedging Double Barriers with Singles

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  • Sbuelz, A.

    (Tilburg University, Center For Economic Research)

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  • Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Discussion Paper 2000-112, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:e810e3ab-1936-457e-a3ae-73a4d5f85441
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/537452/112.pdf
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    References listed on IDEAS

    as
    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. repec:bla:jfinan:v:53:y:1998:i:3:p:1165-1190 is not listed on IDEAS
    3. Antoon Pelsser, "undated". "Pricing Double Barrier Options: An Analytical Approach," Computing in Economics and Finance 1997 130, Society for Computational Economics.
    4. Sheldon Lin, X., 1998. "Double barrier hitting time distributions with applications to exotic options," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 45-58, October.
    5. Dupont, Dominique Y., 2001. "Hedging Barrier Options: Current Methods and Alternatives," Economics Series 103, Institute for Advanced Studies.
    6. Raphael Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 6, pages 177-202, World Scientific Publishing Co. Pte. Ltd..
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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