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  • Účelem článku je studium efektivnosti replikačních metod podmíněných nároků - opcí. Více konkrétně, hlavní pozornost je zaměřena základní způsoby dynamického přístupu k replikaci výplaty bariérových opcí. Tato metoda je postavena na neustále se měnícím poměru aktiv - rizikového a bezrizikového - v replikačním portfoliu. Alternativou je metoda superreplikace - tedy sestavení portfolia tak, aby dominovalo výplatě replikovaného derivátu. V tomto článku je pozornost upřena zejména na omezení krátké pozice v rizikovém aktivu. Aplikace je provedena na reálných datech středoevropských akciových trhů. (cs)
  • The purpose of this article is to study the efficiency of chosen replication methods of contingent claims with barriers (single barrier options to be more concrete). The article deals with the most common way to replicate the payoff of barrier options - dynamic replication. The method of dynamic replication is based on ever-changing positions in a replication portfolio consisting of risky (underlying) and riskless assets. One alternative method is based on the strategy of superreplication. The method aims on dominating the payoff over all states of the world. In this paper we study the presence of short-selling constraints in more details and examine whether there are any significant differences when applying the option replication method on a real data of central European stock exchange markets.
  • The purpose of this article is to study the efficiency of chosen replication methods of contingent claims with barriers (single barrier options to be more concrete). The article deals with the most common way to replicate the payoff of barrier options - dynamic replication. The method of dynamic replication is based on ever-changing positions in a replication portfolio consisting of risky (underlying) and riskless assets. One alternative method is based on the strategy of superreplication. The method aims on dominating the payoff over all states of the world. In this paper we study the presence of short-selling constraints in more details and examine whether there are any significant differences when applying the option replication method on a real data of central European stock exchange markets. (en)
Title
  • Examination of basic Dynamic Replication Methods
  • Examination of basic Dynamic Replication Methods (en)
  • Vyšetření základních dynamických metod opční replikace (cs)
skos:prefLabel
  • Examination of basic Dynamic Replication Methods
  • Examination of basic Dynamic Replication Methods (en)
  • Vyšetření základních dynamických metod opční replikace (cs)
skos:notation
  • RIV/61989100:27510/05:00011847!RIV06-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 40-44
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GP402/05/P085)
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  • 520912
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  • RIV/61989100:27510/05:00011847
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  • Option; replication; exotic option; replication error (en)
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http://linked.open...ontrolniKodProRIV
  • [77DC54274020]
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  • Bratistava. Slovenská republika
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  • Bratislava
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  • Ekonomika, Financie a Manažment Podniku
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  • Tichý, Tomáš
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number of pages
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  • Ekonomická univerzita v Bratislave
https://schema.org/isbn
  • 80-225-2107-8
http://localhost/t...ganizacniJednotka
  • 27510
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