A Semi-Static Hedging of Barrier Options
碩士 === 國立高雄大學 === 應用數學系碩士班 === 99 === In this study, the pricing formulae of single barrier options are introduced and a semi-static trading strategy is proposed for hedging barrier options. The proposed hedging method only needs to rebalance the hedging positions once at the rst hitting time when...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42697318502781021065 |