Efektivnost opčních replikačních metod s aplikací na data středoevropských indexů

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F04%3A00009805" target="_blank" >RIV/61989100:27510/04:00009805 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Efficiency of Option Replication Methods on a data set of Central European Stock Market

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 payoff of barrier options - dynamic replication and superreplication. 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 superreplication, a method aiming to dominate the payoff over all states of the 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 (not studied here) is st

Název v anglickém jazyce

The Efficiency of Option Replication Methods on a data set of Central European Stock Market

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 payoff of barrier options - dynamic replication and superreplication. 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 superreplication, a method aiming to dominate the payoff over all states of the 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 (not studied here) is st

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F04%2F1357" target="_blank" >GA402/04/1357: Aplikace metodologie reálných opcí při finančním rozhodování v malé otevřené ekonomice</a><br>

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2004

Kód důvěrnosti údajů

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

Název statě ve sborníku

THIRD INTERNATIONAL SYMPOSIUM ON BUSINESS ADMINISTRATION - The Competition Power of The European Union After The Enlargement

ISBN

0682-8467

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

145-153

Název nakladatele

Canakkale Onsekiz Mart University

Místo vydání

Canakkale, Turecko

Místo konání akce

Canakkale

Datum konání akce

26. 5. 2004

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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