Gesell, Sebastian (2011) Semi-robust static Hedging of Barrier Options. Masters thesis, oxford university.
|PDF (MScMCF dissertation)|
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  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|
|Deposited By:||Laura Auger|
|Deposited On:||13 Aug 2011 10:00|
|Last Modified:||13 Aug 2011 10:00|
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