The Mathematical Institute, University of Oxford, Eprints Archive

Semi-robust static Hedging of Barrier Options

Gesell, Sebastian (2011) Semi-robust static Hedging of Barrier Options. Masters thesis, oxford university.

[img]
Preview
PDF (MScMCF dissertation)
888Kb

Abstract

We explore how to put the theory on static hedges of barrier options into use. We discuss a polynomial expansion of the exact static hedge in a stationary diffusion model provided by [9] and we develop an explicit expression of an asymptotic static hedge, which is constructed to perform well for short maturities. We derive a semi-robust static hedge in a sense, that it is model independent and depends upon one's beliefs about the future values of implied volatility only.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1373
Deposited By:Laura Auger
Deposited On:13 Aug 2011 10:00
Last Modified:13 Aug 2011 10:00

Repository Staff Only: item control page