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Description
  • Účelem článku je prověřit efektivnost vybraných replikačních metod opcí s bariérami. Článek se zabývá zejména nejčastějším způsobem replikace opční výplaty - dynamickou replikací. Metoda dynamické replikace je založena na neustále se měnících pozicích v aktivech obsažených v replikačním portfoliu. Replikace některých speciálních typů opcí (jako jsou třeba opce bariérové) může vyústit ve výraznou chybu. To je způsobeno nespojitostí výplaty a tržními nedokonalostmi, tj. není možné spojité obchodování při nulových transakčních nákladech. Určitou alternativou může být metoda superreplikace, založená na dominování opční výplaty hodnotou replikačního portfolia pro všechny možné scénáře. V článku je studován speciální typ superreplikace - replikace při stanoveném omezení na podíl rizikového aktiva v replikačním portfoliu. Za účelem srovnání efektivnosti je vykonáno jak simulování náhodného vývoje ceny podkladového aktiva (dle simulace Monte Carlo) tak aplikace časové řady dat reálných akciových indexů. (cs)
  • The purpose of this article is to study the efficiency of chosen replication methods of contingent claims with barriers (barrier options in particular). The article deals with the most common ways to replicate the payoff of barrier options - dynamic replication and superreplication. The method of dynamic replication is based on ever-changing positions in replication portfolio consisting of risky (underlying) and risk-less assets. Replication of some special types of contingent claims (such as barrier options) is connected with serious troubles, esp. in presence of incomplete markets and if continuous trading is not possible. Alternative methods are based on strategy of superreplication, a method aiming to dominate the payoff over all states of the world. In this paper the presence of short-selling constraints is studied in more details. The method of super-replication adopted in this article is similar to the method of moving the barrier level. The third method (not studied here) is static replication
  • The purpose of this article is to study the efficiency of chosen replication methods of contingent claims with barriers (barrier options in particular). The article deals with the most common ways to replicate the payoff of barrier options - dynamic replication and superreplication. The method of dynamic replication is based on ever-changing positions in replication portfolio consisting of risky (underlying) and risk-less assets. Replication of some special types of contingent claims (such as barrier options) is connected with serious troubles, esp. in presence of incomplete markets and if continuous trading is not possible. Alternative methods are based on strategy of superreplication, a method aiming to dominate the payoff over all states of the world. In this paper the presence of short-selling constraints is studied in more details. The method of super-replication adopted in this article is similar to the method of moving the barrier level. The third method (not studied here) is static replication (en)
Title
  • Efektivnost opčních replikačních metod s aplikací na data středoevropských indexů (cs)
  • The Efficiency of Option Replication Methods on a data set of Central European Stock Market
  • The Efficiency of Option Replication Methods on a data set of Central European Stock Market (en)
skos:prefLabel
  • Efektivnost opčních replikačních metod s aplikací na data středoevropských indexů (cs)
  • The Efficiency of Option Replication Methods on a data set of Central European Stock Market
  • The Efficiency of Option Replication Methods on a data set of Central European Stock Market (en)
skos:notation
  • RIV/61989100:27510/04:00009805!RIV/2005/GA0/275105/N
http://linked.open.../vavai/riv/strany
  • 145-153
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/04/1357), 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
  • 562226
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/04:00009805
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Contingent claims;barriers;dynamic replication;static replication;super-replication;dominating the payoff;replication error;discrete and continuous barriers. (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [FE1F99C06ECD]
http://linked.open...v/mistoKonaniAkce
  • Canakkale
http://linked.open...i/riv/mistoVydani
  • Canakkale, Turecko
http://linked.open...i/riv/nazevZdroje
  • THIRD INTERNATIONAL SYMPOSIUM ON BUSINESS ADMINISTRATION - The Competition Power of The European Union After The Enlargement
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
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
issn
  • 0682-8467
number of pages
http://purl.org/ne...btex#hasPublisher
  • Canakkale Onsekiz Mart University
http://localhost/t...ganizacniJednotka
  • 27510
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