Option Hedging - Perfect and Imperfect Replication
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007649" target="_blank" >RIV/61989100:27510/03:00007649 - 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
Option Hedging - Perfect and Imperfect Replication
Original language description
The purpose of this article is to study the efficiency of chosen replication methods of contingent claims. The article deals with the most common way to replicate the pay-off of options - dynamic replication. The method of dynamic replication is based onever-changing positions in replication portfolio consisting of risky (underlying) and risk-less assets. The classical approach is based on achieving of perfect hedge (replication). However, subjects are often not able or willing to put in all the capital needed to achieve the perfect strategy. In this case come on hand the method of partial replication, or quantile hedging in other words. The weakness of the method is that it does not incorporate the size of shortfall. So we should not be interested inthe size of profit/loss. We take care just if it happens or not. In order to compare the effect of discrete trading on efficiency of dynamic partial replication the Monte Carlo simulation is used.
Czech name
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Czech description
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Classification
Type
C - Chapter in a specialist book
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
Book/collection name
Departamento de Estadística, Econometría, Investigación Operativa y Organización de Empresas: Documentos de Trabajo
ISBN
84-95723-04-2
Number of pages of the result
8
Pages from-to
1-8
Number of pages of the book
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Publisher name
Universidad de Córdoba
Place of publication
Córdoba
UT code for WoS chapter
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