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

| 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) |
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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 |

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