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Static hedging of barrier options : a review of four methods
Bibliography: leaves 85-87.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2015
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| _version_ | 1867613215117017088 |
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| access_status_str | Open Access |
| author | Bosman, Petrus |
| author2 | Ouwehand, Peter |
| author_browse | Bosman, Petrus Ouwehand, Peter |
| author_facet | Ouwehand, Peter Bosman, Petrus |
| author_sort | Bosman, Petrus |
| collection | Thesis |
| description | Bibliography: leaves 85-87. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/14974 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:36.207Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/14974 Static hedging of barrier options : a review of four methods Bosman, Petrus Ouwehand, Peter Mathematics and Applied Mathematics Bibliography: leaves 85-87. This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical usefulness of the static hedging schemes in comparison with dynamic delta hedging. Only one of the four models, by Derman, Ergener and Kani (1995) seems to show promise when transaction costs and stochastic volatility are taken into account. 2015-11-16T03:54:29Z 2015-11-16T03:54:29Z 2003 Master Thesis Masters MSc http://hdl.handle.net/11427/14974 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Bosman, Petrus Static hedging of barrier options : a review of four methods |
| thesis_degree_str | Master's |
| title | Static hedging of barrier options : a review of four methods |
| title_full | Static hedging of barrier options : a review of four methods |
| title_fullStr | Static hedging of barrier options : a review of four methods |
| title_full_unstemmed | Static hedging of barrier options : a review of four methods |
| title_short | Static hedging of barrier options : a review of four methods |
| title_sort | static hedging of barrier options a review of four methods |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/14974 |
| work_keys_str_mv | AT bosmanpetrus statichedgingofbarrieroptionsareviewoffourmethods |