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Barrier options and their static hedges: simple derivations and extensions
2006
Quantitative finance (Print)
We use a reflection result to give simple proofs of (well-known) valuation formulas and static hedge portfolios constructions for zero-rebate single-barrier options in the Black-Scholes model. We then illustrate how to extend the ideas to other model types giving (at least) easy-to-program numerical methods and other option types such as options with rebates, double-barrier and lookback options.
doi:10.1080/14697680600690331
fatcat:iy47vldgong2zgsr4zp3lk6n3y