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

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

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

C - Kapitola v odborné knize

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 knihy nebo sborníku

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

ISBN

84-95723-05-0

Počet stran výsledku

25

Strana od-do

1-25

Počet stran knihy

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Název nakladatele

Universidad de Córdoba

Místo vydání

Córdoba

Kód UT WoS kapitoly

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