全部版块 我的主页
论坛 金融投资论坛 六区 金融学(理论版)
1789 2
2011-07-04

In this article we show a simple but important relationship between

the put-call transformation and the put-call symmetry as well as extend

the relationship to also hold for single and double barrier options. These

new barrier transformations give new insight in barrier option valuation.

Using the transformation it is possible to value a barrier put option from

a barrier call option formula and vice versa. Our results also extend the

possibilities for static hedging and closed form valuation for many new

exotic options. The new relationships also make us able to value a double

barrier option in a simple and intuitive way, only using a few single barrier

options.
附件列表
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

全部回复
2011-7-4 12:14:59
Thank you very much
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2011-7-6 08:56:19
好资料~谢谢分享!!
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

相关推荐
栏目导航
热门文章
推荐文章

说点什么

分享

扫码加好友,拉您进群
各岗位、行业、专业交流群