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71.
This paper extends the static hedging portfolio (SHP) approach of and to price and hedge American knock-in put options under the Black–Scholes model and the constant elasticity of variance (CEV) model. We use standard European calls (puts) to construct the SHPs for American up-and-in (down-and-in) puts. We also use theta-matching condition to improve the performance of the SHP approach. Numerical results indicate that the hedging effectiveness of a bi-monthly SHP is far less risky than that of a delta-hedging portfolio with daily rebalance. The numerical accuracy of the proposed method is comparable to the trinomial tree methods of and . Furthermore, the recalculation time (the term is explained in Section 1) of the option prices is much easier and quicker than the tree method when the stock price and/or time to maturity are changed. 相似文献
72.
73.
Englund Peter Hwang Min Quigley John M. 《The Journal of Real Estate Finance and Economics》2002,24(1-2):167-200
An unusually rich source of data on housing prices in Stockholm is used to analyze the investment implications of housing choices. This empirical analysis derives market-wide price and return series for housing investment during a 13-year period, and it also provides estimates of the individual-specific, idiosyncratic, variation in housing returns. Because the idiosyncratic component follows an autocorrelated process, the analysis of portfolio choice is dependent upon the holding period. We analyze the composition of household investment portfolios containing housing, common stocks, stocks in real estate holding companies, bonds, and t-bills. For short holding periods, the efficient portfolio contains essentially no housing. For longer periods, low-risk portfolios contain 15 to 50 percent housing. These results suggest that there are large potential gains from policies or institutions that would permit households to hedge their lumpy investments in housing. We estimate the potential value of hedges in reducing risk to households, yet yielding the same investment returns. The value is surprisingly large, especially to poorer homeowners. 相似文献
74.
Nonzero transaction costs invalidate the Black–Scholes [1973. Journal of Political Economy 81, 637–654] arbitrage argument based on continuous trading. Leland [1985. Journal of Finance 40, 1283–1301] developed a hedging strategy which modifies the Black–Scholes hedging strategy with a volatility adjusted by the length of the rebalance interval and the rate of the proportional transaction cost. Kabanov and Safarian [1997. Finance and Stochastics 1, 239–250] calculated the limiting hedging error of the Leland strategy and pointed out that it is nonzero for the approximate pricing of an European call option, in contradiction to Leland's claim. As a further contribution, we first identify the mathematical flaw in the argument of Leland's claim and then quantify the expected percentage of hedging losses in terms of the hedging frequency and the level of the option strike price. 相似文献
75.
In this paper we study the pricing and hedging of options whose payoff is a polynomial function of the underlying price at
expiration; so-called ‘power options’. Working in the well-known Black and Scholes (1973) framework we derive closed-form
formulas for the prices of general power calls and puts. Parabola options are studied as a special case. Power options can
be hedged by statically combining ordinary options in such a way that their payoffs form a piecewise linear function which
approximates the power option's payoff. Traditional delta hedging may subsequently be used to reduce any residual risk. 相似文献
76.
A duration-based hedge ratio is the conventional method to hedge against price changes of a fixed-income instrument. However, the relationship between bond prices and interest rates is nonlinear, creating a convexity effect. Moreover, term structure changes often are nonparallel in nature, which causes imperfect hedges for the duration-based hedging model. One solution to these problems is to dynamically change the duration-based hedge ratio; however, this procedure is costly and is not effective when jumps in prices occur. A superior solution is to develop a two-instrument hedge ratio that simultaneously hedges both duration and convexity effects. This paper first presents such a two-instrument hedge ratio and then we examine its effectiveness. The simulation results show that this duration-convexity hedge ratio is vastly superior to alternative hedge ratio methods for both simple and complex changes in the term structure. 相似文献
77.
John Y. Campbell João Cocco Francisco Gomes Pascal J. Maenhout Luis M. Viceira 《European Finance Review》2001,5(3):269-292
This paper solves numerically the intertemporalconsumption and portfolio choiceproblem of an infinitely-lived investor whofaces a time-varying equity premium.The solutions we obtain are very similarto the approximate analytical solutionsof Campbell and Viceira (1999), except atthe upper extreme of the state spacewhere both the numerical consumption andportfolio rules flatten out.We also consider a constrained version ofthe problem in which the investor facesborrowing and short-sales restrictions.These constraints bind when the equitypremium moves away from its mean in eitherdirection, and are particularly severe forrisk-tolerant investors. The constraints havesubstantial effects on optimalconsumption, but much more modest effects onoptimal portfolio choice in theregion of the state space where they are notbinding. 相似文献
78.
Jakša Cvitanić 《Asia-Pacific Financial Markets》1999,6(1):7-35
In this article we survey methods of dealing with the following problem: A financial agent is trying to hedge a claim C, without
having enough initial capital to perform a perfect (super) replication. In particular, we describe results for minimizing
the expected loss of hedging the claim C both in complete and incomplete continuous-time financial market models, and for
maximizing the probability of perfect hedge in complete markets and markets with partial information. In these cases, the
optimal strategy is in the form of a binary option on C, depending on the Radon-Nikodym derivative of the equivalent martingale
measure which is optimal for a corresponding dual problem. We also present results on dynamic measures for the risk associated
with the liability C, defined as the supremum over different scenarios of the minimal expected loss of hedging C.
This revised version was published online in August 2006 with corrections to the Cover Date. 相似文献
79.
80.
C. He J. S. Kennedy T. F. Coleman P. A. Forsyth Y. Li K. R. Vetzal 《Review of Derivatives Research》2006,9(1):1-35
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and Andreasen (2000). By generating
a set of option prices assuming a jump diffusion with known parameters, we investigate two crucial challenges intrinsic to
this type of model: calibration of parameters and hedging of jump risk. Even though the estimation problem is ill-posed, our
results suggest that the model can be calibrated with sufficient accuracy. Two different strategies are explored for hedging
jump risk: a semi-static approach and a dynamic technique. Simulation experiments indicate that each of these methods can
sharply reduce risk exposure.
JEL Classification G12 · G13 相似文献