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  • This article deals with static replication (hedging) of barrier options. At first, definition of replication methods is provided. After that, we take a look at an option with discretely monitored barrier and its valuation. The purpose of this paper is to describe and examine method of static replication - creation of replicating portfolio that replicate pay-off of an option with discrete barriers. At first, to replicate the pay-off digitals (binary options) are used. Thereafter, digitals are replaced by tight spread in order to obtain replicating portfolio by using more standard options. Initial values of replicating portfolios are compared with a value produced by M-C simulation
  • This article deals with static replication (hedging) of barrier options. At first, definition of replication methods is provided. After that, we take a look at an option with discretely monitored barrier and its valuation. The purpose of this paper is to describe and examine method of static replication - creation of replicating portfolio that replicate pay-off of an option with discrete barriers. At first, to replicate the pay-off digitals (binary options) are used. Thereafter, digitals are replaced by tight spread in order to obtain replicating portfolio by using more standard options. Initial values of replicating portfolios are compared with a value produced by M-C simulation (en)
Title
  • Static replication of option with discretely monitored barrier
  • Static replication of option with discretely monitored barrier (en)
skos:prefLabel
  • Static replication of option with discretely monitored barrier
  • Static replication of option with discretely monitored barrier (en)
skos:notation
  • RIV/61989100:27510/02:00002269!RIV/2003/MSM/275103/N
http://linked.open.../vavai/riv/strany
  • 249-256
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 665001
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/02:00002269
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Barrier option, discretely monitored barrier, static options replication, hedging, digitals, knock-ins, knock-outs, time boundary, barrier boundary (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [C5B76971985F]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 20th International Conference Mathematical Methods in Economics 2002
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...ocetUcastnikuAkce
http://linked.open...nichUcastnikuAkce
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 80-248-0153-1
http://localhost/t...ganizacniJednotka
  • 27510
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