Replication Methods of Contingent Claims with Barriers and Measuring its Effectiveness Via Simulation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007652" target="_blank" >RIV/61989100:27510/03:00007652 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Replication Methods of Contingent Claims with Barriers and Measuring its Effectiveness Via Simulation
Original language description
The purpose of this article is to study the efficiency of chosen replication methods of contingent claims with barriers (barrier options in particular). The article deals with the most common ways to replicate the pay-off of barrier options - dynamic replication, static replication and super-replication. The method of dynamic replication is based on ever-changing positions in replication portfolio consisting of risky (underlying) and risk-less assets. Replication of some special types of contingent claims (such as barrier options) is connected with serious troubles, esp. in presence of incomplete markets and if continuous trading is not possible. Alternative methods are based on strategy of super-replication, a method aiming to dominate the pay-off over all states of world. In this paper the presence of short-selling constraints is studied in more details. The method of super-replication adopted in this article is similar to the method of moving the barrier level. The third method stud
Czech name
—
Czech description
—

Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Book/collection name
Departamento de Estadística, Econometría, Investigación Operativa y Organización de Empresas: Documentos de Trabajo
ISBN
84-95723-05-0
Number of pages of the result
25
Pages from-to
1-25
Number of pages of the book
—
Publisher name
Universidad de Córdoba
Place of publication
Córdoba
UT code for WoS chapter
—

Similar results(10)