Option Hedging - Perfect and Imperfect Replication

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Option Hedging - Perfect and Imperfect Replication

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Option Hedging - Perfect and Imperfect Replication

Popis výsledku anglicky

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.

Druh

C - Kapitola v odborné knize

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

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 knihy nebo sborníku

Departamento de Estadística, Econometría, Investigación Operativa y Organización de Empresas: Documentos de Trabajo

ISBN

84-95723-04-2

Počet stran výsledku

8

Strana od-do

1-8

Počet stran knihy

—

Název nakladatele

Universidad de Córdoba

Místo vydání

Córdoba

Kód UT WoS kapitoly

—