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Quantitative Finance Volume 11, 2011 - Issue 7
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Feature

Semi-static hedging for certain Margrabe-type options with barriers

Michael Schmutz Department of Mathematical Statistics and Actuarial Science, University of Bern, Sidlerstrasse 5, 3012 Bern, SwitzerlandCorrespondence[email protected]
Pages 979-986 | Received 13 Feb 2009, Accepted 27 May 2010, Published online: 23 Nov 2010
 
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Acknowledgements

The author is grateful to Ilya Molchanov for helpful discussions and corrections, to Sara Fischer and Olivia Jutzi for proofreading, to Rolf Burgermeister and Markus Liechti for practical hints, and especially to two anonymous referees for numerous inspiring and helpful comments. This work was supported by the Swiss National Science Foundation under grant No. 200021-117606.

Notes

† We thank an anonymous referee for this hint.

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