[1] |
BLACKF, SCHOLES M. The pricing of options and corporate liabilities[J]. The Journal of Political Economy, 1973, 81: 637-659.
|
[2] |
MERTON R C. Theory of rational option pricing[J]. Bell Journal of Economics and Management Science, 1973, 4(1): 141-183.
|
[3] |
RUBINSTEIN M, REINER E. Breaking down the barrier[J]. Risk, 1991, 4: 28-35.
|
[4] |
HEYNEN P, KAT H. Partial barrier options[J]. Journal of Financial Engineering, 1994, 3: 253-274.
|
[5] |
HEYNEN P, KAT H. Discrete partial barrier options with a moving barrier[J]. Journal of Financial Engineering, 1994, 5: 199-209.
|
[6] |
CARR P. Two extension to barrier option valuation[J]. Applied Mathematical Finance, 1995, 2: 173-209.
|
[7] |
XING L. Application of finite difference methods in stock option pricing[J]. Science Technology and Engineer, 2007, 7(19): 5192-5195.
|
[8] |
CAROLE B, PHELIM B. Monte Carlo methods for pricing discrete Parisian options[J].The European Journal of Finance, 2011, 17(3): 169-196.
|
[9] |
Derman E, Ergener D, Kani I. Forever hedged[J]. Risk, 1994, 7: 139-145.
|
[10] |
CARR P, CHOU A. Hedging complex barrier options[R]. Cambridge, MA: Morgan Stanley and MIT Computer Science, 1997.
|
[11] |
CARR P, ELLIS K, GUPTA V. Static hedging of exotic options[J]. Journal of Finance, 1998, 53(3): 1165-1190.
|
[12] |
CARR P, PICRON J. Static hedging of timing risk[J]. Journal of Derivatives, 1999, 6 (3): 57-70.
|
[13] |
TOMPKINS R. Static versus dynamic hedging of exotic options: An evaluation of hedge performance via simulation[J]. Journal of Risk Finance, 2002, 3: 6-34.
|
[14] |
CVITANI J, PHAM H, TOUZI N. Super-replication in stochastic volatility models under portfolio constraints[J].Applied Probability Trust, 1999, 36(2): 523-545.
|
[15] |
CVITANI J, PHAM H, TOUZI N. Hedging in discrete time under transaction costs and continuous-time limit [J]. Applied Probability Trust, 1999, 36(1): 163-178.
|
[16] |
JUN D, KU H. Static hedging of chained-type barrier options[J]. North American Journal of Economics and Finance, 2015, 33: 317-327.
|
[17] |
CARR P P, JARROW R A. The stop-loss start-gain paradox and option valuation: A new decomposition into intrinsic and time value[J]. The Review of Financial Studies, 1990, 3(3): 469-482.
|
[18] |
RUBINSTEIN M, REINER E. Breaking down the barrier[J]. Risk,1991,4: 28-35.
|
[19] |
储国强,卫剑波,王琦.沪深300指数障碍期权的动态对冲研究[J].武汉金融,2014(12): 25-29.
|
[1] |
BLACKF, SCHOLES M. The pricing of options and corporate liabilities[J]. The Journal of Political Economy, 1973, 81: 637-659.
|
[2] |
MERTON R C. Theory of rational option pricing[J]. Bell Journal of Economics and Management Science, 1973, 4(1): 141-183.
|
[3] |
RUBINSTEIN M, REINER E. Breaking down the barrier[J]. Risk, 1991, 4: 28-35.
|
[4] |
HEYNEN P, KAT H. Partial barrier options[J]. Journal of Financial Engineering, 1994, 3: 253-274.
|
[5] |
HEYNEN P, KAT H. Discrete partial barrier options with a moving barrier[J]. Journal of Financial Engineering, 1994, 5: 199-209.
|
[6] |
CARR P. Two extension to barrier option valuation[J]. Applied Mathematical Finance, 1995, 2: 173-209.
|
[7] |
XING L. Application of finite difference methods in stock option pricing[J]. Science Technology and Engineer, 2007, 7(19): 5192-5195.
|
[8] |
CAROLE B, PHELIM B. Monte Carlo methods for pricing discrete Parisian options[J].The European Journal of Finance, 2011, 17(3): 169-196.
|
[9] |
Derman E, Ergener D, Kani I. Forever hedged[J]. Risk, 1994, 7: 139-145.
|
[10] |
CARR P, CHOU A. Hedging complex barrier options[R]. Cambridge, MA: Morgan Stanley and MIT Computer Science, 1997.
|
[11] |
CARR P, ELLIS K, GUPTA V. Static hedging of exotic options[J]. Journal of Finance, 1998, 53(3): 1165-1190.
|
[12] |
CARR P, PICRON J. Static hedging of timing risk[J]. Journal of Derivatives, 1999, 6 (3): 57-70.
|
[13] |
TOMPKINS R. Static versus dynamic hedging of exotic options: An evaluation of hedge performance via simulation[J]. Journal of Risk Finance, 2002, 3: 6-34.
|
[14] |
CVITANI J, PHAM H, TOUZI N. Super-replication in stochastic volatility models under portfolio constraints[J].Applied Probability Trust, 1999, 36(2): 523-545.
|
[15] |
CVITANI J, PHAM H, TOUZI N. Hedging in discrete time under transaction costs and continuous-time limit [J]. Applied Probability Trust, 1999, 36(1): 163-178.
|
[16] |
JUN D, KU H. Static hedging of chained-type barrier options[J]. North American Journal of Economics and Finance, 2015, 33: 317-327.
|
[17] |
CARR P P, JARROW R A. The stop-loss start-gain paradox and option valuation: A new decomposition into intrinsic and time value[J]. The Review of Financial Studies, 1990, 3(3): 469-482.
|
[18] |
RUBINSTEIN M, REINER E. Breaking down the barrier[J]. Risk,1991,4: 28-35.
|
[19] |
储国强,卫剑波,王琦.沪深300指数障碍期权的动态对冲研究[J].武汉金融,2014(12): 25-29.
|