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SplinterNB
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Posts: 4
Joined: January 27th, 2011, 2:29 am

Hedging Soft Barrier Options

October 4th, 2011, 12:42 am

Hi all, I was wondering if anyone has any literature on soft barrier options, especially hedging techniques used in practice. I have been looking at the deltas of soft barriers within the soft barrier period and it looks like they present some interesting hedging issues. I was hoping someone could direct me to any known papers on these instruments, there seems to be a dearth of information on this floating the internet. Thanks
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Hedging Soft Barrier Options

October 5th, 2011, 1:20 pm

Since no one has responded -- there is a certainly a big lit. discussing barriers with rebates. Maybe you can create a rebatepolicy that immitates your structure.
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