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Static hedges for reverse barrier options with robustness against skew risk : an empirical analysis

Matthias Fengler, Jan H. Maruhn & Morten Nalholm

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Kurzfassung We conduct an empirical evaluation of a static super-replicating hedge of barrier options. The hedge is robust to uncertainty about the future skew. Using almost seven years of current data on the DAX, we evaluate the performance of the hedge and compare it with those of both a dynamic and a static replicating hedge. The main result is that the robustness of the static super-replicating portfolio is also empirically confirmed in practice such that the hedge sets an upper bound for the price of skew risk for barrier options.
   
Typ Artikel (wissenschaftliche Zeitschrift)
   
Schlagwörter (Tags)
   
Sprache Englisch
Art des Artikels Journal Artikel
Erscheinungsdatum 1-5-2011
Zeitschrift Quantitative Finance
Verlag Taylor&Francis (London UK)
ISSN 1469-7688
ISSN (online) 1469-7696
DOI 10.1080/14697680903154241
Jahrgang bzw. Volume 11
Nummer bzw. Issue 5
Seite(n) 711-727
Review Double-Blind Review
   
Zitation Fengler, Matthias ; Maruhn, Jan H. ; Nalholm, Morten: Static hedges for reverse barrier options with robustness against skew risk : an empirical analysis. In: Quantitative Finance 11 (2011), Nr. 5, S. 711-727, DOI:10.1080/14697680903154241.