The Mathematical Institute, University of Oxford, Eprints Archive

Robust hedging of digital double touch barrier options

Hao, Ni (2009) Robust hedging of digital double touch barrier options. Masters thesis, Mathematical Institute.

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Abstract

In this dissertation, we present basic idea and key results for model-free pricing and hedging of digital double barrier options. Besides we extend this model to the market with non-zero interest rate by allowing some model-based trading. Moreover we apply this hedging strategies to Heston stochastic volatility model and compare its performances with that of delta hedging strategies in such setting. Finally we further interpret these numerical results to show the advantages and disadvantages of these two types of hedging strategies.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:784
Deposited By:Laura Auger
Deposited On:23 Jul 2009 08:27
Last Modified:03 Aug 2009 10:28

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