Sökning: "Jon Anders Andersson"
Hittade 1 uppsats innehållade orden Jon Anders Andersson.
1. Dynamic and Static Hedging of Barrier options
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : In this paper the performance of a static hedging strategy of European barrier options are evaluated, first introduced by Carr, Ellis and Gupta in 1998. Two dynamic hedging strategies are used as benchmarks; the delta hedging and delta-gamma hedging strategy, respectively. LÄS MER
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