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This paper studies the hedging performance of static replication approach proposed by Derman, Ergener, and Kani (DEK, 1995) for continuous barrier options under the constant elasticity of variance (CEV) model of Cox (1975) and Cox and Ross (1976), and then focuses on how to improve the DEK...
Persistent link: https://www.econbiz.de/10010940025
Persistent link: https://www.econbiz.de/10005397340