Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 41st ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 2009, Kobe)
Static hedging for knock-in/out options written on the price ratios : A simple case
Jirô Akahori, Katsuya Takagi
Author information
JOURNAL FREE ACCESS

2010 Volume 2010 Pages 201-205

Details
Download PDF (1982K)
Download citation RIS

(compatible with EndNote, Reference Manager, ProCite, RefWorks)

BIB TEX

(compatible with BibDesk, LaTeX)

Text
How to download citation
Contact us
Abstract
We study static hedges of knock-in/out options written on the price ratios of several risky assets. These options are knocked-in/out when one of the prices hit against another one. The proof is given only for the simple cases.
Content from these authors
© 2010 ISCIE Symposium on Stochastic Systems Theory and Its Applications
Previous article Next article
Favorites & Alerts

Recently viewed articles
Share this page
feedback
 Top