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Persistent link: https://www.econbiz.de/10005015365
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...
Persistent link: https://www.econbiz.de/10005495754