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Document type:
Zeitschriftenaufsatz 
Author(s):
Mayer, S.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Hedging Barrier Options with Standard Products 
Abstract:
Barrier options are European put or call options where the payoff is dependent on whether the price of the underlying asset reaches a special predetermined level (called barrier) during the life of the option. We show how barrier options can be valued and hedged using standard put and call options on the same underlying asset. Our hedging procedure considers a special feature of the implied volatilities called the smile effect. We give an example where we apply our results to the hedging of down...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
risklab research paper No. 9805 
Year:
1998 
Pages contribution:
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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