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.
Hedging Double Barriers with Singles
SBUELZ, Alessandro
2005-01-01
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.
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