---------- Forwarded message ---------- Date: Wed, 22 Jan 2003 12:53:01 +0100 From: Gabriel Lee lee@ihs.ac.at To: vfn-admin@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=%27/files/2906/hedging.pdf%27&am...
gabe lee