Static replication of option with discretely monitored barrier
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F02%3A00002269" target="_blank" >RIV/61989100:27510/02:00002269 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Static replication of option with discretely monitored barrier
Original language description
This article deals with static replication (hedging) of barrier options. At first, definition of replication methods is provided. After that, we take a look at an option with discretely monitored barrier and its valuation. The purpose of this paper is todescribe and examine method of static replication - creation of replicating portfolio that replicate pay-off of an option with discrete barriers. At first, to replicate the pay-off digitals (binary options) are used. Thereafter, digitals are replaced bytight spread in order to obtain replicating portfolio by using more standard options. Initial values of replicating portfolios are compared with a value produced by M-C simulation
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 20th International Conference Mathematical Methods in Economics 2002
ISBN
80-248-0153-1
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
249-256
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 4, 2002
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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