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A remark on static hedging of options written on the last exit time

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  • Yuri Imamura

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  • Yuri Imamura, 2011. "A remark on static hedging of options written on the last exit time," Review of Derivatives Research, Springer, vol. 14(3), pages 333-347, October.
    • Handle: RePEc:kap:revdev:v:14:y:2011:i:3:p:333-347
    DOI: 10.1007/s11147-010-9059-9
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    References listed on IDEAS

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    1. Jirô Akahori & Yuri Imamura & Yuko Yano, 2009. "On the Pricing of Options Written on the Last Exit Time," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 661-668, December.
    2. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, June.
    3. Madan, D. & Roynette, B. & Yor, Marc, 2008. "Option prices as probabilities," Finance Research Letters, Elsevier, vol. 5(2), pages 79-87, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Yuri Imamura & Katsuya Takagi, 2013. "Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(1), pages 71-81, March.
    2. Imamura Yuri & Ishigaki Yuta & Okumura Toshiki, 2014. "A numerical scheme based on semi-static hedging strategy," Monte Carlo Methods and Applications, De Gruyter, vol. 20(4), pages 223-235, December.
    3. Jiro Akahori & Flavia Barsotti & Yuri Imamura, 2017. "The Value of Timing Risk," Papers 1701.05695, arXiv.org.

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    More about this item

    Keywords

    Static hedging strategy; Exotic option; Last exit time; Carr-Chou’s symmetry formula; G13; C69;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other

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