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- W1518121079 abstract "The effects of the discrete monitoring of barrier options is analysed. We determine the costs that a market-maker should charge when making prices for such a kind of exotic options. The costs are related to the Delta-hedging activity around the barrier level between two subsequent monitoring dates, by assuming a reasonable hedging rule followed by the trader. We explain how our result is related to an apparently similar result by Becker and Wystup (2005) and finally we present a practical application showing that the inclusion of the Delta-hedging costs has a relevant impact on the discretely monitored barrier options prices." @default.
- W1518121079 created "2016-06-24" @default.
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- W1518121079 date "2009-01-01" @default.
- W1518121079 modified "2023-09-26" @default.
- W1518121079 title "The Hedging Costs of Discrete Monitoring of FX Barrier Options" @default.
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- W1518121079 doi "https://doi.org/10.2139/ssrn.1335302" @default.
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