DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Kyoung-Kuk | ko |
dc.contributor.author | Lim, Dong Young | ko |
dc.date.accessioned | 2016-11-09T05:33:46Z | - |
dc.date.available | 2016-11-09T05:33:46Z | - |
dc.date.created | 2015-09-11 | - |
dc.date.created | 2015-09-11 | - |
dc.date.issued | 2016-09 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.36, no.9, pp.819 - 850 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/213796 | - |
dc.description.abstract | A 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.language | English | - |
dc.publisher | WILEY-BLACKWELL | - |
dc.subject | BARRIER OPTIONS | - |
dc.subject | BROWNIAN EXCURSIONS | - |
dc.subject | RUIN PROBABILITY | - |
dc.title | Risk Analysis and Hedging of Parisian Options under a Jump-Diffusion Model | - |
dc.type | Article | - |
dc.identifier.wosid | 000383862400001 | - |
dc.identifier.scopusid | 2-s2.0-84979731398 | - |
dc.type.rims | ART | - |
dc.citation.volume | 36 | - |
dc.citation.issue | 9 | - |
dc.citation.beginningpage | 819 | - |
dc.citation.endingpage | 850 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.21757 | - |
dc.contributor.localauthor | Kim, Kyoung-Kuk | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | BARRIER OPTIONS | - |
dc.subject.keywordPlus | BROWNIAN EXCURSIONS | - |
dc.subject.keywordPlus | RUIN PROBABILITY | - |
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