Exercise 17.1.18 (1) Formulate the inout parity for double-barrier options. (2) Replicate the double-barrier option by using
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Exercise 17.1.18 (1) Formulate the in–out parity for double-barrier options.
(2) Replicate the double-barrier option by using knock-in options, knock-out options, and double-barrier options that come into existence if and only if both barriers are hit. (3) Modify Eq. (17.9) to price the double-barrier option in (2).
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ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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