https://scholars.lib.ntu.edu.tw/handle/123456789/414462
標題: | Semistatic hedging and pricing American floating strike lookback options | 作者: | Chung S.-L. Huang Y.-T. Shih P.-T. JR-YAN WANG |
關鍵字: | American floating strike lookback option;dynamic hedging;model risk;put¡Vcall duality;semistatic hedging;stochastic volatility model | 公開日期: | 2019 | 卷: | 39 | 期: | 4 | 起(迄)頁: | 418-434 | 來源出版物: | Journal of Futures Markets | 摘要: | We price an American floating strike lookback option under the Black¡VScholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put¡Vcall duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility. ? 2018 Wiley Periodicals, Inc. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414462 | ISSN: | 02707314 | DOI: | 10.1002/fut.21986 |
顯示於: | 財務金融學系 |
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