Hedging of barrier options
Barrier options are exotic options that can be difficult to hedge due to the possibility of the delta and gamma values being very large close to the barrier. This thesis investigates methods to hedge barrier options that can minimize the profits and losses that arise when using a dynamic technique k...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2010
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| Texto completo: | http://hdl.handle.net/10071/1831 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/1831 |