OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
✍ Scribed by Aytaç İlhan; Ronnie Sircar
- Book ID
- 111043048
- Publisher
- John Wiley and Sons
- Year
- 2006
- Tongue
- English
- Weight
- 376 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
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 ⌬ hedges. Further, it is shown that the hedge portfolios involving options are
overed call writing is a popular investment strategy among both individual and C institutional investors. The introduction of index option contracts created a new vehicle for those programs. Effective maintenance of a covered index position is potentially complicated by the requirement that the unde