*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.
Till seminarielistan
To the list of
seminars |