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Option Hedging

Name: Option Hedging
Brand: VDM Verlag
SKU: 9783639247169
Price: 81.67 EUR
Availability: InStock

Modeling and Testing

Автор: Iuri Lazier

Език:

Корици: С меки корици

Издател: VDM Verlag

Наличност: Налично при издателя, по поръчка

Изпращаме след 17-27 дни

81.67 € 159.74 лв

Financial modeling is a rich research field that generated a large amount of approaches and techniqu...

Информация за книгата

Автор

Iuri Lazier

Език

Английски език

Корици

Книга - С меки корици

Издадена

2010

страници

248

EAN

9783639247169

ISBN

3639247167

Enbook ID

06832289

Издател

VDM Verlag

Теглоt

367

Размери

152 x 229 x 14

Пълно описание

Financial modeling is a rich research field that generated a large amount of approaches and techniques for dealing with financial phenomena. When it comes to practice, besides the implementation issues, the selection of a suitable path is also a difficult task. This book is an essay on modeling and testing option hedging strategies. It analyzes and compares three hedging strategies for European options, based on the Black-Scholes-Merton model, a dynamic programming solution for dynamic multiperiod hedging and a GARCH model. The strategies are compared under their theoretical premises and through comparative performance tests built over simulated data using a proposed simulation method for data generation. An analysis is also presented regarding estimation and its implications over the performance of the strategies. The essay should help those interested in understanding the grounds of different option hedging strategies and should also be inspiring for anyone who is about to make a decision for an implementation method of any financial phenomena.