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On pricing of vulnerable barrier options and vulnerable double barrier options

Finance Research Letters, 2022
Abstract In this paper, we provide analytical pricing formulae of vulnerable barrier options and vulnerable double barrier options. To obtain the price of vulnerable double barrier options, we give the joint distribution of a special range of the two-dimensional correlated Brownian motions. This result is of independent interest. Based on the derived
Heqian Wang, Ke Zhou
exaly   +2 more sources

A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

Mathematical Finance, 2002
In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options.
Hans-Peter Bermin
exaly   +3 more sources

Robust Hedging of Barrier Options

Mathematical Finance, 2001
This article considers the pricing and hedging of barrier options in a market in which call options are liquidly traded and can be used as hedging instruments. This use of call options means that market preferences and beliefs about the future behavior of the underlying assets are in some sense incorporated into the hedge and do not need to be ...
David Hobson, L C G Rogers
exaly   +3 more sources

Edokko Options: A New Framework of Barrier Options

Asia-Pacific Financial Markets, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fujita, Takahiko, Miura, Ryozo
openaire   +3 more sources

New Options for Barrier Contraception

Journal of Obstetric, Gynecologic & Neonatal Nursing, 2008
Barrier contraceptives are a safe alternative to hormonal methods of fertility management. Newer barrier method options include the Today Sponge, the FemCap, and the Lea's Shield. Understanding the use, benefits, and limitations of these barrier methods of birth control will assist women's health care providers to better meet the family planning needs ...
Yranski, Patricia A., Gamache, Mary E.
openaire   +3 more sources

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