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Robust Hedging of Barrier Options

✍ Scribed by Haydyn Brown; David Hobson; L. C. G. Rogers

Book ID
108550488
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
384 KB
Volume
11
Category
Article
ISSN
0960-1627

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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