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• W4366393905 abstract "As a sequel to Lee et al. (2022b), this paper explores the pricing of multi-step double barrier options with arbitrary European-type payoffs from a static hedging perspective. Using the reflection principle of Brownian motion, we develop how to construct an exact static hedging portfolio consisting of simple discrete barrier options under the Black–Scholes model. This equivalent conversion from continuous monitoring to discrete ones provides an efficient way of evaluating multi-step double barrier options, while overcoming the drawbacks of dynamic hedging. We illustrate our result with numerical examples, and extend it to other asset price dynamics such as jump diffusion." @default.
• W4366393905 created "2023-04-21" @default.
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• W4366393905 date "2023-07-01" @default.
• W4366393905 modified "2023-09-27" @default.
• W4366393905 title "The pricing and static hedging of multi-step double barrier options" @default.
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• W4366393905 doi "https://doi.org/10.1016/j.frl.2023.103890" @default.
• W4366393905 hasPublicationYear "2023" @default.
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