The main aim of this thesis is in analyzing and empirically testing the various valuation models and hedging schemes of foreign exchange barrier options and their robustness with respect to changing of market conditions. The purpose of the main empirical section is to get a detailed understanding of the static and dynamic performance of the analyzed models for the barrier options payoff mainly in the extreme market conditions, where we performed a benchmarking of the various hedging schemes. As a by-product, we analyzed the accomplishment of some of the model assumptions in real world setting, and the model dependency of the barrier options.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:77859 |
| Date | January 2004 |
| Creators | Mertlík, Jakub |
| Contributors | Radová, Jarmila, Kodera, Jan, Scevenels, Dirk |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
Page generated in 0.0045 seconds