HEDGING DOUBLE BARRIERS WITH SINGLES

Alessandro Sbuelz ()
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Alessandro Sbuelz: Tilburg University, Department of Finance, PO Box 90153 NL-5000 LE Tilburg, The Netherlands

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 03, 393-407

Abstract: Double barrier options can be statically hedged by a portfolio of single barrier knockin options. The main part of the hedge automatically turns into the desired contract along the double barrier corridor extrema.

Keywords: Double barrier options; single barrier options; static hedging (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219024905002998

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