implementing static hedges reverse di stolte johannes (7 risultati)

Condizione: New. pp. 68.

Taschenbuch. Condizione: Neu. Neuware -Barrier options are the most actively traded type of exotic equity derivative today. Especially reverse barrier options, like the up-and-out call considered here, are extremely difficult to hedge however. A number of interesting and sophisticated approaches of static hedging have therefore been proposed in the literature. To implement any of these static hedges under the consideration of observed market frictions many adjustments need to be addressed. This paper discusses the necessary adjustments for a large number of static hedges. As an example, DAX index options that are traded on the EUREX will be considered. In addition, hedge performance is analyzed with regard to a discounted hedge error. It turns out that only a few of the proposed static hedges perform satisfactory for an up-and-out call option with a barrier at 120%. It further seems unrealistic to hedge many different volatility levels or jump components in practice, as is proposed by some recent studies.Books on Demand GmbH, Überseering 33, 22297 Hamburg 68 pp. Englisch.

Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Barrier options are the most actively traded type of exotic equity derivative today. Especially reverse barrier options, like the up-and-out call considered here, are extremely difficult to hedge however. A number of interesting and sophisticated approaches of static hedging have therefore been proposed in the literature. To implement any of these static hedges under the consideration of observed market frictions many adjustments need to be addressed. This paper discusses the necessary adjustments for a large number of static hedges. As an example, DAX index options that are traded on the EUREX will be considered. In addition, hedge performance is analyzed with regard to a discounted hedge error. It turns out that only a few of the proposed static hedges perform satisfactory for an up-and-out call option with a barrier at 120%. It further seems unrealistic to hedge many different volatility levels or jump components in practice, as is proposed by some recent studies. 68 pp. Englisch.

Condizione: New. Print on Demand pp. 68 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.

Condizione: New. PRINT ON DEMAND pp. 68.

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Stolte JohannesJohannes Stolte, MSc, CQF: Studied Econometrics and Operations Research at Maastricht University to Masters Level. He worked on various quant desks, which helped to obtain a good working knowledge of exotic options and.

Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Barrier options are the most actively traded type of exotic equity derivative today. Especially reverse barrier options, like the up-and-out call considered here, are extremely difficult to hedge however. A number of interesting and sophisticated approaches of static hedging have therefore been proposed in the literature. To implement any of these static hedges under the consideration of observed market frictions many adjustments need to be addressed. This paper discusses the necessary adjustments for a large number of static hedges. As an example, DAX index options that are traded on the EUREX will be considered. In addition, hedge performance is analyzed with regard to a discounted hedge error. It turns out that only a few of the proposed static hedges perform satisfactory for an up-and-out call option with a barrier at 120%. It further seems unrealistic to hedge many different volatility levels or jump components in practice, as is proposed by some recent studies.