The Best Stock Hedging Among Option Strategies
نویسندگان
چکیده
منابع مشابه
Report on "American Option Pricing and Hedging Strategies"
This paper mainly discusses the American option’s hedging strategies via binomial model and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturi...
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This work is devoted to the discrete time hedging of the American option on a dividendpaying stock with a convex payoff, the particular case of which is American call option. Perfect hedging requires continuous trading in time and knowledge of the partial derivative of the value function of the American option in the underlying asset. Neither one can trade continuously in time nor the closed-fo...
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In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order for the theory to be self-consistent. The replicating methods in existing finance literature are shown to violate the self-financing constraint when the underl...
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ژورنال
عنوان ژورنال: Research Journal of Applied Sciences
سال: 2010
ISSN: 1815-932X
DOI: 10.3923/rjasci.2010.397.403