About: The Ability of Tracking Error Metod to Improve an Index Option Replication

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: The Ability of Tracking Error Metod to Improve an Index Option Replication Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Dynamická opční replikace je přístup běžně využívaný s úmyslem buď uměle vytvořit či zajistit opci. Metoda je ve své základní podobě založena na spojitém obchodování i s nekonečně malými podíly v podkladovém aktivu a bezrizikovém aktivu. V reálných podmínkách však je tento postup značně komplikován. V článku je nabídnuta metoda Tracking Error jako prostředek ke zlepšení některých nedostatků zákaldního postupu. (cs) A dynamic option replication is an approach commonly used in order to either synthetically create or hedge option positions. The method, within its standard definition, requires to trade continuously with (possibly infinitesimal) fractions of the underlying asset and a riskless bond. Under real market conditions, however, there arise problems of two sorts. First, continuous trading with small fractions is impossible (or at least too expensive). Second, considering an option on a capital market index, it might be unfeasible to trade simultaneously with all the assets included into the index. In this paper, we try to identify the expost optimal portfolio composition strategy. If we could identify some, it might make sense to study possible exante applications of tracking error approach in order to find an improvement strategy. A dynamic option replication is an approach commonly used in order to either synthetically create or hedge option positions. The method, within its standard definition, requires to trade continuously with (possibly infinitesimal) fractions of the underlying asset and a riskless bond. Under real market conditions, however, there arise problems of two sorts. First, continuous trading with small fractions is impossible (or at least too expensive). Second, considering an option on a capital market index, it might be unfeasible to trade simultaneously with all the assets included into the index. In this paper, we try to identify the expost optimal portfolio composition strategy. If we could identify some, it might make sense to study possible exante applications of tracking error approach in order to find an improvement strategy. (en)
Title	The Ability of Tracking Error Metod to Improve an Index Option Replication The Ability of Tracking Error Metod to Improve an Index Option Replication (en) Možnsoti využití metody Tracking Error za účelem zvýšení efektivnosti replikace indexové opce (cs)
skos:prefLabel	The Ability of Tracking Error Metod to Improve an Index Option Replication The Ability of Tracking Error Metod to Improve an Index Option Replication (en) Možnsoti využití metody Tracking Error za účelem zvýšení efektivnosti replikace indexové opce (cs)
skos:notation	RIV/61989100:27510/08:00018588!RIV09-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/08/1237)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2009
http://linked.open...aciTvurceVysledku	Valecký, Jiří Tichý, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	354642
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/08:00018588
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Dynamic option replication; index portfolio; portfolio position constraints; transaction costs; tracking error. (en)
http://linked.open.../riv/klicoveSlovo	transaction costs Dynamic option replication index portfolio portfolio position constraints tracking error.
http://linked.open...odStatuVydavatele	SK - Slovenská republika
http://linked.open...ontrolniKodProRIV	[9AEB2B12D1AC]
http://linked.open...i/riv/nazevZdroje	Journal of Information, Control and Management Systems
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of complex Lévy processes in modeling of financial assets prices
http://linked.open...UplatneniVysledku	2008
http://linked.open...v/svazekPeriodika	6
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš Valecký, Jiří
issn	1336-1716
number of pages	9 (xsd:int)
http://localhost/t...ganizacniJednotka	27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 48 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software