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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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Identification Number: 10.1111/mafi.12063


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:
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
Sets: Research centres and groups > London Multimedia Lab for Audiovisual Composition and Communication
Research centres and groups > LSE Enterprise
Date Deposited: 09 Jun 2014 16:06
Last Modified: 20 May 2021 02:16

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