Andere Kunden interessierten sich auch für
![Vinzenz Bronzin's Option Pricing Models]( "Vinzenz Bronzin's Option Pricing Models")
Vinzenz Bronzin's Option Pricing Models110,99 €![An Option Greeks Primer]( "An Option Greeks Primer")
An Option Greeks Primer42,99 €![An Option Greeks Primer]( "An Option Greeks Primer")
An Option Greeks Primer101,99 €![Option Pricing Under the Variance Gamma Process]( "Option Pricing Under the Variance Gamma Process")
Option Pricing Under the Variance Gamma Process51,99 €![DCF and Risk-Neutral Valuation]( "DCF and Risk-Neutral Valuation")
DCF and Risk-Neutral Valuation38,99 €![Option Pricing in the Presence of Liquidity Risk]( "Option Pricing in the Presence of Liquidity Risk")
Option Pricing in the Presence of Liquidity Risk32,99 €![Equity Indexing]( "Equity Indexing")
Equity Indexing51,99 €
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 makea decision for an implementation method of any financial phenomena.