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Implementing Static Hedges for Reverse Barrier Options: Under the Consideration of Market Frictions - Softcover
Synopsis
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.
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About the Author
Johannes 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 the various pricing techniques. Currently a PhD Candidate in Mathematical Finance at Imperial College London.
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Implementing Static Hedges for Reverse Barrier Options
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VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
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Seller: Books Puddle, New York, NY, U.S.A.
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Implementing Static Hedges for Reverse Barrier Options
Published by
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
New
Softcover
Seller: Majestic Books, Hounslow, United Kingdom
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Condition: 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. Seller Inventory # 131637226
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Implementing Static Hedges for Reverse Barrier Options
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LAP LAMBERT Academic Publishing Mrz 2011, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: 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. Seller Inventory # 9783844311143
Quantity: 2 available
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Implementing Static Hedges for Reverse Barrier Options
Published by
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
New
Softcover
Seller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 5 out of 5 stars
Condition: New. PRINT ON DEMAND pp. 68. Seller Inventory # 18128917567
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Implementing Static Hedges for Reverse Barrier Options
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LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
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Condition: 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. Seller Inventory # 5471586
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Implementing Static Hedges for Reverse Barrier Options
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LAP LAMBERT Academic Publishing Mär 2011, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
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Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
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Taschenbuch. Condition: 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. Seller Inventory # 9783844311143
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Implementing Static Hedges for Reverse Barrier Options : Under the Consideration of Market Frictions
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844311149
ISBN 13: 9783844311143
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: 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. Seller Inventory # 9783844311143
Quantity: 1 available