Search Results - subject:"static replication"

SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS

CARR, PETER - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1091-1111

We show that the payoff to barrier options can be replicated when the underlying price process is driven by the difference of two independent Poisson processes. The replicating strategy employs simple semi-static positions in co-terminal standard options. We note that classical dynamic...

Persistent link: https://www.econbiz.de/10009393845

MAXIMUM DRAWDOWN INSURANCE

CARR, PETER; ZHANG, HONGZHONG; HADJILIADIS, OLYMPIA - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1195-1230

The drawdown of an asset is a risk measure defined in terms of the running maximum of the asset's spot price over some period [0, T]. The asset price is said to have drawn down by at least $K over this period if there exists a time at which the underlying is at least $K below its...

Persistent link: https://www.econbiz.de/10009415369

Semi-static hedging of barrier options under poisson jumps

Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111

Persistent link: https://www.econbiz.de/10009407668

Static Replication of Forward-Start Claims and Realized Variance Swaps

Baldeaux, Jan; Rutkowski, Marek - In: Applied Mathematical Finance 17 (2010) 2, pp. 99-131

The goal of this work is to examine the static replication of path-dependent derivatives such as realized variance …, following Carr and Madan (2002), the static replication of path-independent claims with continuous and discontinuous payoff … functions. Subsequently, the static replication of forward-start claims with payoffs given by a bivariate function of finite …

Persistent link: https://www.econbiz.de/10008674995