Valuation of barrier options via a general self-duality

Alòs, Elisa, Chen, Zhanyu and Rheinlander, Thorsten (2016) Valuation of barrier options via a general self-duality. Mathematical Finance, 26 (3). pp. 492-515. ISSN 0960-1627

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Abstract

Classical put-call symmetry relates the price of puts and calls under a suitable dual market transform. One well-known application is the semistatic hedging of path-dependent barrier options with European options. This, however, in its classical form requires the price process to observe rather stringent and unrealistic symmetry properties. In this paper, we develop a general self-duality theorem to develop valuation schemes for barrier options in stochastic volatility models with correlation.

Item Type:	Article
Official URL:	http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information:	© 2014 Wiley Periodicals, Inc.
Divisions:	LSE
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
Date Deposited:	09 Jun 2014 16:06
Last Modified:	14 Sep 2024 06:58
URI:	http://eprints.lse.ac.uk/id/eprint/56933

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