Lee, Hangsuck; Ko, Bangwon; Lee, Minha - 2023
As a sequel to Lee et al. (2022b), this paper explores the pricing of multi-step double barrier options with arbitrary … construct an exact static hedging portfolio consisting of simple discrete barrier options under the Black-Scholes model. This … barrier options, while overcoming the drawbacks of dynamic hedging. We illustrate our result with numerical examples, and …