Dynamic methods to replication of contingent claims with barriers
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007646" target="_blank" >RIV/61989100:27510/03:00007646 - 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
Dynamic methods to replication of contingent claims with barriers
Original language description
This article deals with the most common way to replicate the pay-off of contingent claims - a method of dynamic replication. The method is based on ever-changing positions in risky (underlying) and risk-less asset. Replication of some special types of claims (barrier options) is connected with serious troubles, especially in presence of incomplete markets and non-continuous trading possibility. Alternative methods are based on strategy of super-replication. In this paper the presence of short-selling constraints is studied in more details. In order to compare the effect of discrete trading on efficiency of standard dynamic replication and its super-replication alternative, the Monte Carlo simulation is used. Both methods are applied to options on capital indices.
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
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical Methods in Economics
ISBN
80-213-1046-4
ISSN
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e-ISSN
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Number of pages
1
Pages from-to
252-259
Publisher name
ČZU v Praze
Place of publication
Praha
Event location
Praha
Event date
Sep 10, 2003
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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