Poulsen, Rolf - In: Quantitative Finance 6 (2006) 4, pp. 327-335
We use a reflection result to give simple proofs of (well-known) valuation formulas and static hedge portfolio constructions for zero-rebate single-barrier options in the Black-Scholes model. We then illustrate how to extend the ideas to other model types giving (at least) easy-to-program...