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http://hdl.handle.net/2031/5455
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| Title: | Optimized static hedging strategy and hedging error analysis for barrier options |
| Other Titles: | Zhang ai qi quan jing tai dui chong de you hua ce lüe ji dui chong wu cha fen xi
障礙期權靜態對沖的優化策略及對沖誤差分析 |
| Authors: | Zhuang, Ziyin (莊子寅) |
| Department: | Department of Economics and Finance |
| Degree: | Master of Philosophy |
| Issue Date: | 2008 |
| Publisher: | City University of Hong Kong |
| Subjects: | Hedging (Finance)
Options (Finance) |
| Description: | CityU Call Number: HG6024.3 .Z48 2008
iv, 86 leaves : ill. 30 cm.
Thesis (M.Phil.)--City University of Hong Kong, 2008.
Includes bibliographical references (leaves 71-73) |
| Type: | thesis |
| Abstract: | The aim of this thesis is to improve on the static hedging of barrier options based on the work of Carr and Chou (1997b). We propose a practical optimization scheme for the hedging strategy and demonstrate the application of the optimized static hedging to vanilla barrier options. We then compare the theoretical performance of the optimized static hedging with that of naïve static hedging and dynamic hedging. Finally we test the performance of the optimized static hedging for barrier options using market data of S&P500 call/put options traded on CBOE. |
| Online Catalog Link: | http://lib.cityu.edu.hk/record=b2340599 |
| Appears in Collections: | EF - Master of Philosophy
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