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  • Digital options are financial derivatives allowing the trader to decompose the payoff of more complicated derivatives. The payoff of these contracts is all or nothing. Therefore, contracts of this type are suitable especially to hedge exotic derivatives with any discontinuity in the payoff function. The paper provides one of the two most common ways to replicate the payoff of these contracts - the static option replication. The method is studied in discrete environment for the case of incomplete model. To be more exact, we suppose (i) stochastic volatility of underlying asset returns and (ii) the negative skewness plus positive excess kurtosis of underlying returns.
  • Digital options are financial derivatives allowing the trader to decompose the payoff of more complicated derivatives. The payoff of these contracts is all or nothing. Therefore, contracts of this type are suitable especially to hedge exotic derivatives with any discontinuity in the payoff function. The paper provides one of the two most common ways to replicate the payoff of these contracts - the static option replication. The method is studied in discrete environment for the case of incomplete model. To be more exact, we suppose (i) stochastic volatility of underlying asset returns and (ii) the negative skewness plus positive excess kurtosis of underlying returns. (en)
  • Digitální opce jsou speciálním typem finančních derivátů, který umožňuje tržním subjektům dekompozici výplatní funkce složitých exotických opcí. Výplatou digitálních opcí je buď vše nebo nic. Z toho důvodu jsou vhodnou součástí replikačních a hedgingových portfolií pro opce s nespojitou výplatou. V článku je presentován a následně ověřen statický přístup k replikaci opční výplaty. Metoda je studována v rámci úplného modelu a dále za předpokladu stochastické volatility či odlišného charakteru výnosů. (cs)
Title
  • Performance of static replication of digital option under incomplete model
  • Performance of static replication of digital option under incomplete model (en)
  • Výkonnost statické replikace digitálních opcí při neúplném modelu (cs)
skos:prefLabel
  • Performance of static replication of digital option under incomplete model
  • Performance of static replication of digital option under incomplete model (en)
  • Výkonnost statické replikace digitálních opcí při neúplném modelu (cs)
skos:notation
  • RIV/61989100:27510/05:00011849!RIV06-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 1-9
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  • P(GP402/05/P085)
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  • 535683
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  • RIV/61989100:27510/05:00011849
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  • Lévy process; time changed Lévy process; digital option; static replication; efficiency of replication (en)
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  • [51F55B822D10]
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  • Zlín, Česká republika
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  • Zlín
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  • Sborník mezinárodní konference Finance a účetnictví ve vědě, výuce a praxi
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  • Tichý, Tomáš
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  • Univerzita Tomáše Bati ve Zlíně. Fakulta managementu a ekonomiky
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  • 80-7318-288-2
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  • 27510
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