Sökning: "Jon Anders Andersson"

Hittade 1 uppsats innehållade orden Jon Anders Andersson.

  1. 1. Dynamic and Static Hedging of Barrier options

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anders Nilsson; Jon Andersson; [2007]
    Nyckelord :hedging; static; dynamic; barrier; options; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : 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