Skip to main content
SpringerLink
Log in

A remark on static hedging of options written on the last exit time

  • Published:
Review of Derivatives Research Aims and scope Submit manuscript

Abstract

In this paper, several different static hedges of the option written on the last exit time are given. One of them was originally presented in Akahori et al. (Methodol Comput Appl Probab 11(4): 661–668, 2009). Another one is derived from an expression in Madan et al. (Asia Pac Financ Mark 15(2): 97–115, 2008d). It is remarked in this paper that these static hedges are also obtained by applying a method in Carr and Chou (Hedging complex barrier options, 2001).

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Akahori J., Imamura Y., Yano Y. (2009) On the pricing of options written on the last exit time. Methodology and Computing in Applied Probability 11(4): 661–668

    Article  Google Scholar 

  • Bowie J., Carr P. (1994) Static simplicity. Risk 7(8): 45–49

    Google Scholar 

  • Carr P., Chou A. (1997) Breaking barriers. Risk 10(9): 139–145

    Google Scholar 

  • Carr, P., & Chou, A. (2001). Hedging complex barrier options preprint, NYU.

  • Carr P., Ellis K., Gupta V. (1998) Static Hedging of exotic options. Journal of Finance 53(3): 1165–1196

    Article  Google Scholar 

  • Carr P., Lee R. (2009) Put-Call symmetry: extensions and applications. Mathematical Finance 14(4): 523–560

    Article  Google Scholar 

  • Madan, D., Roynette B., & Yor M. (2008a). An alternative expression for the Black-Scholes formula in terms of Brownian first and last passage times, preprint, INRIA.

  • Madan, D., Roynette B., & Yor M. (2008b). From black-scholes formula, to local times and last passage times for certain submartingales, preprint, INRIA.

  • Madan D., Roynette B., Yor M. (2008c) Option prices as probabilities. Finance Research Letters 5(2): 79–87

    Article  Google Scholar 

  • Madan D., Roynette B., Yor M. (2008d) Unifying black-scholes type formulae which involve brownian last passage times up to a finite Horizon. Asia-Pacific Financial Markets 15(2): 97–115

    Article  Google Scholar 

  • Profeta C., Roynette B., Yor M. (2010) Option prices as probabilities: A new look at generalized black-scholes formulae. Springer Finance, Springer-Verlag, Berlin

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Japan Society for the Promotion of Science, Graduate School of Mathematics, Ritsumeikan University, Kusatsu, Japan

    Yuri Imamura

Authors
  1. Yuri Imamura
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Yuri Imamura.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Imamura, Y. A remark on static hedging of options written on the last exit time. Rev Deriv Res 14, 333–347 (2011). https://doi.org/10.1007/s11147-010-9059-9

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11147-010-9059-9

Keywords

JEL Classification

Search

Navigation