Static hedging of barrier options : a review of four methods

 

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dc.contributor.advisor Ouwehand, Peter en_ZA
dc.contributor.author Bosman, Petrus en_ZA
dc.date.accessioned 2015-11-16T03:54:29Z
dc.date.available 2015-11-16T03:54:29Z
dc.date.issued 2003 en_ZA
dc.identifier.citation Bosman, P. 2003. Static hedging of barrier options : a review of four methods. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/14974
dc.description Bibliography: leaves 85-87. en_ZA
dc.description.abstract This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical usefulness of the static hedging schemes in comparison with dynamic delta hedging. Only one of the four models, by Derman, Ergener and Kani (1995) seems to show promise when transaction costs and stochastic volatility are taken into account. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Mathematics and Applied Mathematics en_ZA
dc.title Static hedging of barrier options : a review of four methods en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Science en_ZA
dc.publisher.department Department of Mathematics and Applied Mathematics en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image


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