Essays on Basket Options Hedging and Irreversible Investment Valuation
dc.contributor.advisor | Riedel, Frank | |
dc.contributor.author | Su, Xia | |
dc.date.accessioned | 2020-04-11T19:04:32Z | |
dc.date.available | 2020-04-11T19:04:32Z | |
dc.date.issued | 2008 | |
dc.identifier.uri | https://hdl.handle.net/20.500.11811/3322 | |
dc.description.abstract | Basket options are one of well-known newly-generated exotic options. As its name implies, it is an option on a portfolio of several assets. As the underlying basket offers more diversification, basket options gain increasing popularity in world financial markets as a fundamental instrument to manage portfolio risks. Examples thereof are equity index options which are traded on the exchange and usually contingent on at least 15 stocks, as well as currency basket options traded over the counter and written on over two currencies. Obviously, the unique feature of basket options is the basket underlying and a complex correlation structure therefore involved. It provides investors a couple of benefits like high diversification, a lower price against a portfolio of single options and so on, and meanwhile complicates the evaluation of basket options. The inherent challenge in pricing and hedging basket options stems primarily from the analytical intractability of the distribution of the basket. Moreover, the correlation between underlying assets is observed to be volatile over time. Due to the lack of standardized basket options traded in the market, the correlation structure can be only estimated from historical time series or from scarce option data. This further prevents us from exactly pricing basket options, and more importantly, perfectly hedging basket options. As a result, a partial- or super-hedge is often pursued in the literature when hedging basket options. Apart from these difficulties, we address another difficulty resulted from a great number of underlying assets in the basket while hedging basket options. If following the standard hedging method, a hedging portfolio for basket options should be related to all underlying assets in the basket. Clearly, if the number of the underlying assets is over 15, such a dynamic hedging strategy would be not only hardly implementable in many practical situations but also create a large transaction cost. In this sense, a static or buy-and-hold hedge strategy has its advantage in cost saving and hence hedge performance. As a result, the first part of this dissertation aims to design a static hedging strategy for European-style basket options and to analyze its hedging result. | |
dc.language.iso | eng | |
dc.rights | In Copyright | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | Basket-Optionen | |
dc.subject | Real-Optionen | |
dc.subject | irreversible Investition | |
dc.subject | basket option | |
dc.subject | real option | |
dc.subject | irreversible investment | |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Essays on Basket Options Hedging and Irreversible Investment Valuation | |
dc.type | Dissertation oder Habilitation | |
dc.publisher.name | Universitäts- und Landesbibliothek Bonn | |
dc.publisher.location | Bonn | |
dc.rights.accessRights | openAccess | |
dc.identifier.urn | https://nbn-resolving.org/urn:nbn:de:hbz:5-15051 | |
ulbbn.pubtype | Erstveröffentlichung | |
ulbbnediss.affiliation.name | Rheinische Friedrich-Wilhelms-Universität Bonn | |
ulbbnediss.affiliation.location | Bonn | |
ulbbnediss.thesis.level | Dissertation | |
ulbbnediss.dissID | 1505 | |
ulbbnediss.date.accepted | 07.07.2008 | |
ulbbnediss.fakultaet | Rechts- und Staatswissenschaftliche Fakultät | |
dc.contributor.coReferee | Sandmann, Klaus |
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