8V 2006 #16

[hershey220]

This is the one that replicates a down-and-out put option using a list of options. Can any one expain what they are doing? Thanks!

[rekrap]

Static replication... Hull Ch 22
See explanation of similar problem here (http://www.actuarialoutpost.com/actuarial_discussion_forum/showthread.php?t=101205&page=2).