ERIKSSON, JONATAN - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 987-996
We generalize earlier results on barrier options for puts and calls and log-normal stock processes to general local volatility models and convex contracts. We show that Γ ≥ 0, that Δ has a unique sign and that the option price is increasing with the volatility for convex contracts in the...