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.
JEL Classification: G12; G13; C61. Double barrier options; single barrier options; static hedging.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/304508
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