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Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Mahayni, Antje; Suchanecki, Michael - 2005

Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. The relation between the barrier level and the strike price is especially important for the design of these products. By using a...

Persistent link: https://www.econbiz.de/10010263131

Robust price bounds for the forward starting straddle

Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214

Persistent link: https://www.econbiz.de/10011417160

Pricing and static hedging of American-style options under the jump to default extended CEV model

Ruas, João Pedro; Dias, José Carlos; Nunes, Joaõ … - In: Journal of banking & finance 37 (2013) 11, pp. 4059-4072

Persistent link: https://www.econbiz.de/10010244898

Static hedging methods for pricing double barrier options

Chen, Yi-Ling; Luo, Hong-Yu; Tsai, Wei-Che; Zhang, Hang - In: Advances in Pacific Basin business, economics and finance 10 (2022), pp. 29-58

Persistent link: https://www.econbiz.de/10013206994

Improved method for static replication under the CEV model

Tsai, Wei-che - In: Finance research letters 11 (2014) 3, pp. 194-202

Persistent link: https://www.econbiz.de/10010441889

Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis

Maruhn, Jan; Nalholm, Morten; Fengler, Matthias - In: Quantitative Finance 11 (2011) 5, pp. 711-727

We conduct an empirical evaluation of a static super-replicating hedge of barrier options. The hedge is robust to uncertainty about the future skew. Using almost seven years of current data on the DAX, we evaluate the performance of the hedge and compare it with those of both a dynamic and a...

Persistent link: https://www.econbiz.de/10009214967

Sensitivities and hedging of the collateral choice option

Deelstra, Griselda; Grzelak, Lech A.; Wolf, Felix Lukas - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-35

Persistent link: https://www.econbiz.de/10014235062

Multi-step barrier products and static hedging

Lee, Hangsuck; Choi, Yang Ho; Lee, Gaeun - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013449307

The pricing and static hedging of multi-step double barrier options

Lee, Hangsuck; Ko, Bangwon; Lee, Minha - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473264

Static versus dynamic hedges: an empirical comparison for barrier options

Engelmann, Bernd; Fengler, Matthias; Nalholm, Morten; … - In: Review of Derivatives Research 9 (2006) 3, pp. 239-264

Persistent link: https://www.econbiz.de/10005709832