Static Hedges for Barrier Options: An Implied Binomial Tree Approach
碩士 === 國立中央大學 === 財務管理研究所 === 89 === Abstract This paper investigates static hedge portfolios for barrier options with volatility “smile.” We try to value the option with an implied binomial tree approach. We replace the traditional dynamic hedging strategy with a static replication under...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2001
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/75878613196986052414 |