Robust hedging of digital double touch barrier options
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 stochasti...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Published: |
Mathematical Institute;University of Oxford
2009
|
| _version_ | 1826312277768273920 |
|---|---|
| author | Hao, N |
| author_facet | Hao, N |
| author_sort | Hao, N |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T08:25:09Z |
| format | Thesis |
| id | oxford-uuid:b7dc2d89-1541-43be-abfb-a4aabc499ab6 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T08:25:09Z |
| publishDate | 2009 |
| publisher | Mathematical Institute;University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:b7dc2d89-1541-43be-abfb-a4aabc499ab62024-02-12T11:40:22ZRobust hedging of digital double touch barrier optionsThesishttp://purl.org/coar/resource_type/c_db06uuid:b7dc2d89-1541-43be-abfb-a4aabc499ab6Mathematical Institute - ePrintsMathematical Institute;University of Oxford2009Hao, NIn 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. |
| spellingShingle | Hao, N Robust hedging of digital double touch barrier options |
| title | Robust hedging of digital double touch barrier options |
| title_full | Robust hedging of digital double touch barrier options |
| title_fullStr | Robust hedging of digital double touch barrier options |
| title_full_unstemmed | Robust hedging of digital double touch barrier options |
| title_short | Robust hedging of digital double touch barrier options |
| title_sort | robust hedging of digital double touch barrier options |
| work_keys_str_mv | AT haon robusthedgingofdigitaldoubletouchbarrieroptions |