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Exotic Options: Proofs Without Formulas

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Author Info
Rolf Poulsen (Institute for Mathematical Sciences, University of Copenhagen)
Abstract

We review how reflection results can be used to give simple proofs of price formulas and derivations of static hedge portfolios for barrier and lookback options in the Black-Scholes model.

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File URL: http://www.econ.ku.dk/FRU/WorkingPapers/PDF/2004/2004_10.pdf
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Publisher Info
Paper provided by University of Copenhagen. Department of Economics. Finance Research Unit in its series FRU Working Papers with number 2004/10.

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Length: 13 pages
Date of creation: Sep 2004
Date of revision:
Handle: RePEc:kud:kuiefr:200410

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This page was last updated on 2010-1-7.

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