Hedging Complex Barrier Options

Abstract

We show how several complex barrier options can be hedged using a portfolio of standard European options. These hedging strategies only involve trading at a few times during the option’s life. Since rolling, ratchet, and lookback options can be decomposed into a portfolio of barrier options, our hedging results also apply. 

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Cite this paper

@inproceedings{Carr1997HedgingCB, title={Hedging Complex Barrier Options}, author={Peter Carr and Andrew Chou}, year={1997} }