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Description
  • An important tool within option risk management, pricing and hedging issues is a replication methodology. However, since the real markets cannot be regarded as perfect, it is better to use non-perfect replication methods rather than perfect ones. In this paper we first describe perfect replication methods and their typology. Next we provide a review of basic methodologies aiming at non-perfect replication. Finally, we present several cases focused on particular market imperfections.
  • An important tool within option risk management, pricing and hedging issues is a replication methodology. However, since the real markets cannot be regarded as perfect, it is better to use non-perfect replication methods rather than perfect ones. In this paper we first describe perfect replication methods and their typology. Next we provide a review of basic methodologies aiming at non-perfect replication. Finally, we present several cases focused on particular market imperfections. (en)
  • Záladním prostředkem opčního risk managementu, oceňování a zajišťování josu replikační metody. Vzhledem k tomu, že reálné trhy nemohou být považovány za dokonalé, je v mnoha případech nezbytné aplikovat některou ze strategií primárně necílích na perfektní replikaci, nýbrž na maximalizaci užitku, pravděpodobnosti úspěchu či dokonce superreplikaci. V článku jsou vybrané metody analyzovány a aplikovány. (cs)
Title
  • Nonperfect option replication methods.
  • Metody nedokonalé opční replikace (cs)
  • Nonperfect option replication methods. (en)
skos:prefLabel
  • Nonperfect option replication methods.
  • Metody nedokonalé opční replikace (cs)
  • Nonperfect option replication methods. (en)
skos:notation
  • RIV/61989100:27510/06:00015343!RIV09-GA0-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GP402/05/P085)
http://linked.open...iv/cisloPeriodika
  • 1
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
  • 488865
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/06:00015343
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Option; replication; hedging; incomplete markets (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [0E21A4C7D7F0]
http://linked.open...i/riv/nazevZdroje
  • ECON 2006
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...v/svazekPeriodika
  • 13
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
issn
  • 0862-7908
number of pages
http://localhost/t...ganizacniJednotka
  • 27510
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