Tid: 28 januari 2008 kl 16.15-17.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Ali Hamdi
Titel: Evaluating The Model of Lines for hedging barrier options. (Examensarbete)
Sammanfattning: By extending the pricing of The Model of Lines to all eight types of barrier options, the model is evaluated to a benchmark model. This is done by simulating paths from the Variance Gamma model, performing delta hedging on these, and then calculating measurements of the performance based on the empirical distribution of the losses. The losses are here defined as the differences between the claims of the contracts and the replicating portfolios.
The Model of Lines is found to perform worse than the benchmark in calculation times, effort in implementation and the quality of the prices. Moreover, problems with the implementation are found, which resulted in failure of The Model of Lines to price the contracts for all possible combinations of parameters satisfyingly.
|Sidansvarig: Gunnar Karlsson