How Well Can Barrier Options Be Hedged by a Static Portfolio of Standard Options?

Download How Well Can Barrier Options Be Hedged by a Static Portfolio of Standard Options? PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!


Book Synopsis How Well Can Barrier Options Be Hedged by a Static Portfolio of Standard Options? by : Klaus Bjerre Toft

Download or read book How Well Can Barrier Options Be Hedged by a Static Portfolio of Standard Options? written by Klaus Bjerre Toft and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Derman, Ergener, and Kani (1994) construct static hedges of barrier options by assuming that local asset return volatility is a function of asset price and time only. However, Dumas, Fleming, and Whaley (1996) find that local volatilities implied from Samp;P 500 index option prices change in a nonpredictable fashion. It is therefore important to determine how sensitive the quality of a static barrier option hedge is to random changes in local volatilities. We investigate this issue by assuming that options are priced according to Heston's (1993) stochastic volatility model, and use these prices to construct static hedges of up and out barrier options. We then identify distributions of cash flows from these hedges by simulating asset price and volatility paths. Our simulations show that static hedges replicate barrier options quite well if the volatility of volatility is moderate or if the barrier option's payoff does not exhibit discontinuities. However, if the payoff on the boundary is noncontinuous, the quality of the static hedge deteriorates rapidly when the volatility of the volatility is large. This happens because a static hedge typically overhedges the volatility exposure of the target barrier option.

Static Vs Dynamic Hedging

Download Static Vs Dynamic Hedging PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.E/5 ( download)

DOWNLOAD NOW!


Book Synopsis Static Vs Dynamic Hedging by :

Download or read book Static Vs Dynamic Hedging written by and published by . This book was released on 1997 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Robust Static Super-replication of Barrier Options

Download Robust Static Super-replication of Barrier Options PDF Online Free

Author :
Publisher : Walter de Gruyter
ISBN 13 : 3110204681
Total Pages : 210 pages
Book Rating : 4.1/5 (12 download)

DOWNLOAD NOW!


Book Synopsis Robust Static Super-replication of Barrier Options by : Jan H. Maruhn

Download or read book Robust Static Super-replication of Barrier Options written by Jan H. Maruhn and published by Walter de Gruyter. This book was released on 2009 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

Robust Static Super-Replication of Barrier Options

Download Robust Static Super-Replication of Barrier Options PDF Online Free

Author :
Publisher : Walter de Gruyter
ISBN 13 : 3110208512
Total Pages : 210 pages
Book Rating : 4.1/5 (12 download)

DOWNLOAD NOW!


Book Synopsis Robust Static Super-Replication of Barrier Options by : Jan H. Maruhn

Download or read book Robust Static Super-Replication of Barrier Options written by Jan H. Maruhn and published by Walter de Gruyter. This book was released on 2009-07-14 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

Hedging Vanilla and Exotic Options

Download Hedging Vanilla and Exotic Options PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.E/5 ( download)

DOWNLOAD NOW!


Book Synopsis Hedging Vanilla and Exotic Options by :

Download or read book Hedging Vanilla and Exotic Options written by and published by . This book was released on 1997 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A General Treatment of Barrier Options

Download A General Treatment of Barrier Options PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!


Book Synopsis A General Treatment of Barrier Options by : Alessandro Sbuelz

Download or read book A General Treatment of Barrier Options written by Alessandro Sbuelz and published by . This book was released on 1998 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article offers a general unifying treatment of barrier options. The unifying treatment is based on a general representation of the risk-neutral density of the absorbed return process of the underlying asset: the quot;convolution density.quot; On the basis of the convolution density, the article establishes relationships between plain and barrier options as well as knock-outs and knock-ins: the quot;plain/knock parities.quot; The plain/knock parities provide new static hedging strategies for the replication of double barrier options; a double barrier option is a portfolio of single barrier options. The article then derives new representations for the analytical solution of option prices in the double barrier setting. For the first time, the analytical solution of the price of the contract with a single knock-in triggering a single knock-out is offered, and new representations of the analytical solution of the price of double knock-ins and knock-outs are also offered. The form of these analytical solutions is a series which absolutely converges at a very high rate.

Option hedging

Download Option hedging PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 337 pages
Book Rating : 4.:/5 (717 download)

DOWNLOAD NOW!


Book Synopsis Option hedging by : Francesco Adiliberti

Download or read book Option hedging written by Francesco Adiliberti and published by . This book was released on 2000 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Dynamic Hedging

Download Dynamic Hedging PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)

DOWNLOAD NOW!


Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb

Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

The Volatility Smile

Download The Volatility Smile PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 1118959167
Total Pages : 528 pages
Book Rating : 4.1/5 (189 download)

DOWNLOAD NOW!


Book Synopsis The Volatility Smile by : Emanuel Derman

Download or read book The Volatility Smile written by Emanuel Derman and published by John Wiley & Sons. This book was released on 2016-09-06 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.

The Journal of Computational Finance

Download The Journal of Computational Finance PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 1062 pages
Book Rating : 4.E/5 ( download)

DOWNLOAD NOW!


Book Synopsis The Journal of Computational Finance by :

Download or read book The Journal of Computational Finance written by and published by . This book was released on 2006 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Download Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

DOWNLOAD NOW!


Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Advances in Pacific Basin Business, Economics and Finance

Download Advances in Pacific Basin Business, Economics and Finance PDF Online Free

Author :
Publisher : Emerald Group Publishing
ISBN 13 : 1801173141
Total Pages : 172 pages
Book Rating : 4.8/5 (11 download)

DOWNLOAD NOW!


Book Synopsis Advances in Pacific Basin Business, Economics and Finance by : Cheng-Few Lee

Download or read book Advances in Pacific Basin Business, Economics and Finance written by Cheng-Few Lee and published by Emerald Group Publishing. This book was released on 2022-03-15 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Pacific Basin Business, Economics and Finance (APBBEF) is an annual series designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries. All articles published are reviewed and recommended by at least two members of the editorial board.

The Journal of Derivatives

Download The Journal of Derivatives PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 736 pages
Book Rating : 4.3/5 (555 download)

DOWNLOAD NOW!


Book Synopsis The Journal of Derivatives by :

Download or read book The Journal of Derivatives written by and published by . This book was released on 2005 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar

Download Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9814495212
Total Pages : 387 pages
Book Rating : 4.8/5 (144 download)

DOWNLOAD NOW!


Book Synopsis Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar by : Marco Avellaneda

Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar written by Marco Avellaneda and published by World Scientific. This book was released on 1999-10-27 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.

Risk-Neutral Valuation

Download Risk-Neutral Valuation PDF Online Free

Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1447138562
Total Pages : 447 pages
Book Rating : 4.4/5 (471 download)

DOWNLOAD NOW!


Book Synopsis Risk-Neutral Valuation by : Nicholas H. Bingham

Download or read book Risk-Neutral Valuation written by Nicholas H. Bingham and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.

Pricing and static hedging of foreign exchange barrier options

Download Pricing and static hedging of foreign exchange barrier options PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (84 download)

DOWNLOAD NOW!


Book Synopsis Pricing and static hedging of foreign exchange barrier options by : Kacper Jurga

Download or read book Pricing and static hedging of foreign exchange barrier options written by Kacper Jurga and published by . This book was released on 2012 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Static Hedging of Barrier Options Under General Asset Dynamics

Download Static Hedging of Barrier Options Under General Asset Dynamics PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (122 download)

DOWNLOAD NOW!


Book Synopsis Static Hedging of Barrier Options Under General Asset Dynamics by : Morten Nalholm

Download or read book Static Hedging of Barrier Options Under General Asset Dynamics written by Morten Nalholm and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: