About: Partial replication of down-and-out call option

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Základním způsobem replikace výplaty opce je využití celého výchozího kapitálu získaného prodejem opce. Avšak subjekt nemusí být ochoten či schopen využít celou tuto částku. Metoda částečné replikace je založena na částečném využití výchozího kapitálu, tj. kapitálu nutného k úplné replikaci. V článku je ukázán způsob, jakým lze částečně replikovat výplatu opce při akceptaci nepříznivého výsledku se stanovenou pravděpodobností. Metoda je studována v diskrétním prostředí. (cs) Standard way to replicate the option payoff is to use all the initial capital obtained from written positions. However, some agents are unwilling or unable to spend all the money. The method of partial replication is based on a construction of a modified contingent claim. This claim can be subsequently decomposed into more simple assets. In this way the agent is able to save a significant amount of money while accepting some probability of shortfall. In particular, we describe construction of the modified claim for a knock-out call as a portfolio of plain vanilla options and cash digitals. We also study the efficiency of a subsequent dynamic replication of this modified claim in discrete time. Standard way to replicate the option payoff is to use all the initial capital obtained from written positions. However, some agents are unwilling or unable to spend all the money. The method of partial replication is based on a construction of a modified contingent claim. This claim can be subsequently decomposed into more simple assets. In this way the agent is able to save a significant amount of money while accepting some probability of shortfall. In particular, we describe construction of the modified claim for a knock-out call as a portfolio of plain vanilla options and cash digitals. We also study the efficiency of a subsequent dynamic replication of this modified claim in discrete time. (en)
Title	Partial replication of down-and-out call option Partial replication of down-and-out call option (en) Částečná replikace down-and-out call opce (cs)
skos:prefLabel	Partial replication of down-and-out call option Partial replication of down-and-out call option (en) Částečná replikace down-and-out call opce (cs)
skos:notation	RIV/61989100:27510/04:00009802!RIV/2005/GA0/275105/N
http://linked.open.../vavai/riv/strany	329-336
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/04/1357), Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat	2005
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	578898
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/04:00009802
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Contingent claims;down-and-out call;modified claim;replication methods;dynamic replication;discrete trading (en)
http://linked.open.../riv/klicoveSlovo	discrete trading down-and-out call modified claim replication methods dynamic replication Contingent claims
http://linked.open...ontrolniKodProRIV	[4F54346C6BCC]
http://linked.open...v/mistoKonaniAkce	Brno
http://linked.open...i/riv/mistoVydani	Brno
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Aplication of the real option methodology ni financial decision-making in small open economy
http://linked.open...UplatneniVysledku	2004
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2004-09-15 (xsd:date)
http://linked.open...n/vavai/riv/zamer	http://linked.opendata.cz/resource/domain/vavai/zamer/MSM%20275100015
number of pages	7 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Masarykova univerzita
https://schema.org/isbn	80-210-3496-3
http://localhost/t...ganizacniJednotka	27510

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