Attributes | Values |
---|
rdf:type
| |
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
| |
http://linked.open...iv/cisloPeriodika
| |
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
| |
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
| |
http://linked.open...ontrolniKodProRIV
| |
http://linked.open...i/riv/nazevZdroje
| |
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
| |
http://linked.open...iv/tvurceVysledku
| |
issn
| |
number of pages
| |
http://localhost/t...ganizacniJednotka
| |