San‐Lin Chung; Pai‐Ta Shih; Wei‐Che Tsai - In: Journal of Futures Markets 30 (2010) 12, pp. 1150-1166
This study modifies the static replication approach of Derman, E., Ergener, D., and Kani, I. (1995, DEK) to hedge continuous barrier options under the Black, F. and Scholes, M. (1973) model. In the DEK method, the value of the static replication portfolio, consisting of standard options with...