Static hedging and model risk for barrie
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Morten Nalholm; Rolf Poulsen
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Article
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2006
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John Wiley and Sons
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English
โ 131 KB
๐ 2 views
The article investigates how sensitive different dynamic and static hedge strategies for barrier options are to model risk. It is found that using plainvanilla options to hedge offers considerable improvements over usual โฌ hedges. Further, it is shown that the hedge portfolios involving options are