Tid: 21 september 2001 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Johan Liljefors.

Titel: Static Hedging of Barrier Options under Dynamic Market Conditions. (Examensarbete)


The purpose of this thesis is to study the efficiency of the Derman-Engener-Kani hedging strategy and to extend it to more complicated securities and dynamic conditions. As foundation and benchmark, the original Derman-Engener-Kani strategy will be used.

The first part of the paper focuses on the theory behind the Derman-Engener-Kani model, and the second part implements and extends it to more general conditions. It is shown that its high dependency on constant market parameters can be reduced, and that it can be applied to more complex barrier securities.

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