Static hedging of barrier options : a review of four methods

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dc.contributor.advisorOuwehand, Peteren_ZA
dc.contributor.authorBosman, Petrusen_ZA
dc.date.accessioned2015-11-16T03:54:29Z
dc.date.available2015-11-16T03:54:29Z
dc.date.issued2003en_ZA
dc.descriptionBibliography: leaves 85-87.en_ZA
dc.description.abstractThis 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.identifier.apacitationBosman, P. (2003). <i>Static hedging of barrier options : a review of four methods</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/14974en_ZA
dc.identifier.chicagocitationBosman, Petrus. <i>"Static hedging of barrier options : a review of four methods."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2003. http://hdl.handle.net/11427/14974en_ZA
dc.identifier.citationBosman, P. 2003. Static hedging of barrier options : a review of four methods. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Bosman, Petrus AB - 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. DA - 2003 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2003 T1 - Static hedging of barrier options : a review of four methods TI - Static hedging of barrier options : a review of four methods UR - http://hdl.handle.net/11427/14974 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/14974
dc.identifier.vancouvercitationBosman P. Static hedging of barrier options : a review of four methods. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2003 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/14974en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics and Applied Mathematicsen_ZA
dc.titleStatic hedging of barrier options : a review of four methodsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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