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Quantitative Finance Volume 6, 2006 - Issue 4
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Original Articles

Barrier options and their static hedges: simple derivations and extensions

Rolf Poulsen Department of Applied Mathematics and Statistics, Institute for Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK-2100, DenmarkCorrespondence[email protected]
Pages 327-335 | Received 15 Nov 2005, Accepted 14 Mar 2006, Published online: 18 Feb 2007

Citations (24)

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Michael Schmutz. (2011) Semi-static hedging for certain Margrabe-type options with barriers. Quantitative Finance 11:7, pages 979-986.
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Articles from other publishers (23)

Hangsuck Lee, Himchan Jeong & Gaeun Lee. (2023) Valuing rebate options and equity-linked products. The North American Journal of Economics and Finance 68, pages 101968.
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Hangsuck Lee, Bangwon Ko & Minha Lee. (2023) The pricing and static hedging of multi-step double barrier options. Finance Research Letters 55, pages 103890.
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Hangsuck Lee, Yang Ho Choi & Gaeun Lee. (2022) Multi-step barrier products and static hedging. The North American Journal of Economics and Finance 61, pages 101676.
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Hans U. Gerber, Elias S. W. Shiu & Jun Yang. (2021) An actuarial approach to pricing barrier options. European Actuarial Journal 11:1, pages 333-339.
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IGOR V. KRAVCHENKO, VLADISLAV V. KRAVCHENKO, SERGII M. TORBA & JOSÉ CARLOS DIAS. (2019) PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION. International Journal of Theoretical and Applied Finance 22:06, pages 1950030.
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Justin Lars Kirkby & Shijie Deng. (2018) Static hedging and pricing of exotic options with payoff frames. Mathematical Finance 29:2, pages 612-658.
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Doobae Jun & Hyejin Ku. (2015) Static hedging of chained-type barrier options. The North American Journal of Economics and Finance 33, pages 317-327.
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Zhuo Jin & Linyi Qian. (2015) Lookback option pricing for regime-switching jump diffusion models. Mathematical Control and Related Fields 5:2, pages 237-258.
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Wei-Che Tsai. (2014) Improved method for static replication under the CEV model. Finance Research Letters 11:3, pages 194-202.
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Yuri Imamura & Katsuya Takagi. (2012) Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion. Asia-Pacific Financial Markets 20:1, pages 71-81.
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R. H. W. Hoppe & T. Lipp. (2011) Optimal control of European double barrier basket options. Journal of Numerical Mathematics 19:2.
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Gabriel G. Drimus. (2009) A forward started jump-diffusion model and pricing of cliquet style exotics. Review of Derivatives Research 13:2, pages 125-140.
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Rolf Poulsen. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Rolf Poulsen. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Uwe Wystup. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Ilya Molchanov & Michael Schmutz. (2010) Multivariate Extension of Put-Call Symmetry. SIAM Journal on Financial Mathematics 1:1, pages 396-426.
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Peter Carr & Roger Lee. (2009) PUT-CALL SYMMETRY: EXTENSIONS AND APPLICATIONS. Mathematical Finance 19:4, pages 523-560.
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Johannes Siven & Rolf Poulsen. (2009) Auto-static for the people: risk-minimizing hedges of barrier options. Review of Derivatives Research 12:3, pages 193-211.
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Johannes Vitalis Siven, Michael Suchanecki & Rolf Poulsen. (2009) Barrier options and lumpy dividends. Wilmott Journal 1:3, pages 167-171.
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Uwe Wystup. 2006. FX Options and Structured Products. FX Options and Structured Products 313 317 .
Bernd Engelmann, Matthias R. Fengler, Morten Nalholm & Peter Schwendner. (2007) Static versus dynamic hedges: an empirical comparison for barrier options. Review of Derivatives Research 9:3, pages 239-264.
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Justin Lars Kirkby & Shijie Deng. (2014) Static Hedging and Pricing of Exotic Options with Payoff Frames. SSRN Electronic Journal.
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Messaoud Chibane. (2011) Accurate Pricing of Continuous Barrier Options with Local Volatility. SSRN Electronic Journal.
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