Exotic Options: Proofs Without Formulas

Rolf Poulsen
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Rolf Poulsen: Institute for Mathematical Sciences, University of Copenhagen

No 2004/10, FRU Working Papers from University of Copenhagen. Department of Economics. Finance Research Unit

Abstract: We review how reflection results can be used to give simple proofs of price formulas and derivations of static hedge portfolios for barrier and lookback options in the Black-Scholes model.

Pages: 13 pages
Date: 2004-09
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