Risk Analysis and Hedging of Parisian Options under a Jump-Diffusion Model

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 535
  • Download : 0
DC FieldValueLanguage
dc.contributor.authorKim, Kyoung-Kukko
dc.contributor.authorLim, Dong Youngko
dc.date.accessioned2016-11-09T05:33:46Z-
dc.date.available2016-11-09T05:33:46Z-
dc.date.created2015-09-11-
dc.date.created2015-09-11-
dc.date.issued2016-09-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v.36, no.9, pp.819 - 850-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://hdl.handle.net/10203/213796-
dc.description.abstractA Parisian option is a variant of a barrier option such that its payment is activated or deactivated only if the underlying asset remains above or below a barrier over a certain amount of time. We show that its complex payoff feature can cause dynamic hedging to fail. As an alternative, we investigate a quasi-static hedge of Parisian options under a more general jump-diffusion process. Specifically, we propose a strategy of decomposing a Parisian option into the sum of other contingent claims which are statically hedged. Through numerical experiments, we show the effectiveness of the suggested hedging strategy. (C) 2015 Wiley Periodicals, Inc.-
dc.languageEnglish-
dc.publisherWILEY-BLACKWELL-
dc.subjectBARRIER OPTIONS-
dc.subjectBROWNIAN EXCURSIONS-
dc.subjectRUIN PROBABILITY-
dc.titleRisk Analysis and Hedging of Parisian Options under a Jump-Diffusion Model-
dc.typeArticle-
dc.identifier.wosid000383862400001-
dc.identifier.scopusid2-s2.0-84979731398-
dc.type.rimsART-
dc.citation.volume36-
dc.citation.issue9-
dc.citation.beginningpage819-
dc.citation.endingpage850-
dc.citation.publicationnameJOURNAL OF FUTURES MARKETS-
dc.identifier.doi10.1002/fut.21757-
dc.contributor.localauthorKim, Kyoung-Kuk-
dc.type.journalArticleArticle-
dc.subject.keywordPlusBARRIER OPTIONS-
dc.subject.keywordPlusBROWNIAN EXCURSIONS-
dc.subject.keywordPlusRUIN PROBABILITY-
Appears in Collection
IE-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0