Options Delta Hedging with No Options at All
نویسندگان
چکیده
منابع مشابه
Hedging of Options in Jump-Diffusion Markets with Correlated Assets
We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
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We show how several complex barrier options can be hedged using a portfolio of standard European options. These hedging strategies only involve trading at a few times during the option’s life. Since rolling, ratchet, and lookback options can be decomposed into a portfolio of barrier options, our hedging results also apply.
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1 CMAP-Ecole Polytechnique, France and Center for Financial Engineering, Columbia University, New York, [email protected] 2 Paris VII University and INRIA, Université Paris VII, Laboratoire de Probabilités et Modèles Aléatoires Case courier 7012 2, Place Jussieu, 75251 Paris, France, [email protected] 3 Université Toulouse 1 Sciences Sociales, GREMAQ, 21, allée de Brienne, 31000 Toulo...
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An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. We discuss pricing and risk management for these ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2508639