Static versus dynamic hedges: an empirical comparison for barrier options

DOI10.1007/s11147-007-9010-xzbMath1153.91784OpenAlexW1963586587MaRDI QIDQ2466425

Bernd Engelmann, Matthias R. Fengler, Morten Nalholm, Peter Schwendner

Publication date: 14 January 2008

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-007-9010-x

zbMATH Keywords

Barrier optionsDynamic hedgingEmpirical hedging analysisLocal volatility modelStatic hedging

Mathematics Subject Classification ID

Related Items (12)

Exchangeability-type properties of asset prices ⋮ Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ Hedging error as generalized timing risk ⋮ Hedging at-the-money digital options near maturity ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes ⋮ Static versus dynamic hedges: an empirical comparison for barrier options ⋮ Hedging Barrier Options in GARCH Models with Transaction Costs ⋮ Static hedging under maturity mismatch ⋮ Auto-static for the people: risk-minimizing hedges of barrier options

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