Thesis
Robust hedging of digital double touch barrier options
- Abstract:
- In this dissertation, we present basic idea and key results for model-free pricing and hedging of digital double barrier options. Besides we extend this model to the market with non-zero interest rate by allowing some model-based trading. Moreover we apply this hedging strategies to Heston stochastic volatility model and compare its performances with that of delta hedging strategies in such setting. Finally we further interpret these numerical results to show the advantages and disadvantages of these two types of hedging strategies.
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Bibliographic Details
- Publisher:
- Mathematical Institute;University of Oxford
- Publication date:
- 2009-07-03
Item Description
- UUID:
-
uuid:b7dc2d89-1541-43be-abfb-a4aabc499ab6
- Local pid:
- oai:eprints.maths.ox.ac.uk:784
- Deposit date:
- 2011-05-19
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Terms of use
- Copyright holder:
- Hao, N
- Copyright date:
- 2009
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