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Description:
Thsis by Shivum Patel

Abstract
This project discusses two methods for obtaining static replicating portfolios for barrier options. The first method discussed is the
method of (Carr & Chou 1997a) and the second is the method of (Derman, Ergener & Kani 1995). The methods are tackled from both a theoretical point of view as well as from a practical implementation point of view. Hence, Matlab code has also been provided implementing these methods. The inputs and outputs of this code is also discussed. The type of barrier options dealt with in this project are vanilla barrier options. That is, your basic up- and-(out/in) and down-and-(out/in), constant-barrier, standard European put and call options.