---------- Forwarded message ----------
Date: Wed, 22 Jan 2003 12:53:01 +0100
From: Gabriel Lee <lee(a)ihs.ac.at>
To: vfn-admin(a)fam.tuwien.ac.at
Subject: Finance Research Seminar: IHS
We are pleased to announce a seminar talk by
Dominique Y. Dupont
University of Twente
on
Monday, January 27, 2003, 16:00, HS II: Finance Research Seminar
"Hedging Barrier Options: Current Methods and Alternatives"
Abstract
This paper applies to the static hedge of barrier options a technique,
mean-square hedging, designed to minimize the size of the hedging error
when perfect replication is not possible. It introduces an extension of
this technique which preserves the computational e±ciency of meansquare
hedging while being consistent with any prior pricing model
or with any linear constraint on the hedging residual. This improves
on current static hedging methods, which aim at exactly replicating
barrier options and rely on strong assumptions on the availability of
traded options with certain strikes or maturities, or on the distribution
of the underlying asset.
Paper to download
http://www.sms.utwente.nl/download.asp?link='/files/2906/hedging.pdf…
gabe lee