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.

Sbuelz, A., Hedging Double Barriers with Singles, <<INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE>>, 2005; 8 (3): 393-407. [doi:10.1142/S0219024905002998] [http://hdl.handle.net/10807/22306]

Hedging Double Barriers with Singles

Sbuelz, Alessandro
2005

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.
Inglese
Sbuelz, A., Hedging Double Barriers with Singles, <<INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE>>, 2005; 8 (3): 393-407. [doi:10.1142/S0219024905002998] [http://hdl.handle.net/10807/22306]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/22306
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