Arbeitspapier
Hedging barrier options: Current methods and alternatives
This paper applies to the static hedge of barrier options a technique, mean-square hedging, designed to minimize the size of the hedging error when perfect replication is not possible. It introduces an extension of this technique which preserves the computational efficiency of mean-square hedging while being consistent with any prior pricing model or with any linear constraint on the hedging residual. This improves on current static hedging methods, which aim at exactly replicating barrier options and rely on strong assumptions on the availability of traded options with certain strikes or maturities, or on the distribution of the underlying asset.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 103
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
Computational Techniques; Simulation Modeling
- Thema
-
barrier options
static hedging
mean-square hedging
Optionsgeschäft
Hedging
Theorie
Barrier Options
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dupont, Dominique Y.
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dupont, Dominique Y.
- Institute for Advanced Studies (IHS)
Entstanden
- 2001
Ähnliche Objekte (12)
Hedging cryptocurrency options
Barrier Option Hedging under Constraints
Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging
Numerical methods for optimization in finance: optimized hedges for options and optimized options for hedging
Cryptocurrency Market: Hedging, Options, and Loans
The pricing and hedging of barrier options and their applications in finance and life insurance
On the partial hedging of American options
Hedging export revenue risk using futures and options
Hedging options including transaction costs in incomplete markets
Barrier option hedging under constraints: a viscosity approach
Essays on basket options hedging and irreversible investment valuation
Pricing and hedging American-style options with deep learning
Hedging cryptocurrency options
Barrier Option Hedging under Constraints
Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging
Numerical methods for optimization in finance: optimized hedges for options and optimized options for hedging
Cryptocurrency Market: Hedging, Options, and Loans
The pricing and hedging of barrier options and their applications in finance and life insurance
On the partial hedging of American options
Hedging export revenue risk using futures and options
Hedging options including transaction costs in incomplete markets
Barrier option hedging under constraints: a viscosity approach
Essays on basket options hedging and irreversible investment valuation
Pricing and hedging American-style options with deep learning
Hedging cryptocurrency options
Barrier Option Hedging under Constraints
Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging
Numerical methods for optimization in finance: optimized hedges for options and optimized options for hedging
Cryptocurrency Market: Hedging, Options, and Loans
The pricing and hedging of barrier options and their applications in finance and life insurance
On the partial hedging of American options
Hedging export revenue risk using futures and options
Hedging options including transaction costs in incomplete markets
Barrier option hedging under constraints: a viscosity approach
Essays on basket options hedging and irreversible investment valuation