Thesis icon

Thesis

Semi-robust static Hedging of Barrier Options

Abstract:
We explore how to put the theory on static hedges of barrier options into use. We discuss a polynomial expansion of the exact static hedge in a stationary diffusion model provided by [9] and we develop an explicit expression of an asymptotic static hedge, which is constructed to perform well for short maturities. We derive a semi-robust static hedge in a sense, that it is model independent and depends upon one's beliefs about the future values of implied volatility only.

Actions


Access Document


Files:

Authors


Sebastian Gesell More by this author
Publication date:
2011-06-24
URN:
uuid:3eaf5309-7237-4541-bdd8-6c7b1f5e37be
Local pid:
oai:eprints.maths.ox.ac.uk:1373

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP