Article2002

Hedging Complex Barrier Options

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

Abstract

Any errors are our own. Summary Page We show how several complex barrier options can be hedged using a portfolio of standard European options. These hedging strategies only involve trading at a few times during the option’s life. Since rolling, ratchet, and lookback options can be decomposed into a portfolio of barrier options, our hedging results also apply.

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References

1973The Pricing of Options and Corporate Liabilities 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976The pricing of commodity contracts 1978Prices of State-Contingent Claims Implicit in Option Prices 1990Options, Futures, and Other Derivative Securities.1987Brownian Motion and Stochastic Flow Systems.1979Path Dependent Options: "Buy at the Low, Sell at the High"

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2006OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS 2018Static hedging and pricing of exotic options with payoff frames 2018A Mellin transform approach to barrier option pricing 2006Barrier options and their static hedges: simple derivations and extensions 2011Pricing barrier and average options in a stochastic volatility environment.2008Local time and the pricing of time-dependent barrier options

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