https://scholars.lib.ntu.edu.tw/handle/123456789/414466
標題: | Static hedging and pricing American knock-in put options | 作者: | Chung S.-L. Shih P.-T. Tsai W.-C. |
關鍵字: | American knock-in options;CEV model;Hedging effectiveness;Static hedging portfolio;Theta-matching condition | 公開日期: | 2013 | 卷: | 37 | 期: | 1 | 起(迄)頁: | 191-205 | 來源出版物: | Journal of Banking and Finance | 摘要: | This paper extends the static hedging portfolio (SHP) approach of Derman et al. (1995) and Carr et al. (1998) to price and hedge American knock-in put options under the Black-Scholes model and the constant elasticity of variance (CEV) model. We use standard European calls (puts) to construct the SHPs for American up-and-in (down-and-in) puts. We also use theta-matching condition to improve the performance of the SHP approach. Numerical results indicate that the hedging effectiveness of a bi-monthly SHP is far less risky than that of a delta-hedging portfolio with daily rebalance. The numerical accuracy of the proposed method is comparable to the trinomial tree methods of Ritchken (1995) and Boyle and Tian (1999). Furthermore, the recalculation time (the term is explained in Section 1) of the option prices is much easier and quicker than the tree method when the stock price and/or time to maturity are changed. ? 2012 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414466 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2012.08.019 |
顯示於: | 財務金融學系 |
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