Dynamic methods to replication of contingent claims with barriers

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Dynamic methods to replication of contingent claims with barriers

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Dynamic methods to replication of contingent claims with barriers

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2003

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Mathematical Methods in Economics

ISBN

80-213-1046-4

ISSN

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e-ISSN

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Počet stran výsledku

1

Strana od-do

252-259

Název nakladatele

ČZU v Praze

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

10. 9. 2003

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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