Asset price volatility and option hedging in imperfectly elastic markets:
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
1995
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Bonn, Univ., Diss., 1996 |
| Physical Description: | III, 80 S. graph. Darst. |
Staff View
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Record in the Search Index
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| adam_text | Contents
1 Introductory Part 1
1.1 Volatility and Feedback Effects 2
1.2 Perfect Option Replication 8
2 Volatility and Feedback Effects 11
2.1 Introduction 11
2.2 The Discrete Time Model . . . 12
2.2.1 A Case with Constant Relative Risk Aversion ¦. . 16
2.3 The Continuous Time Model 20
2.4 Feedback Effects from Black Scholes Trading 24
2.4.1 Hedge Demand Generated by Black Scholes Strategies . . 24
2.4.2 Rational Black Scholes Trading 27
2.4.3 Comparison with the Brennan and Schwartz Study .... 30
2.4.4 Numerical Computations 30
2.5 Summary 31
2.6 Results from Simulations 32
3 Perfect Option Replication 37
3.1 Introduction 37
3.2 The Setup 38
ii
CONTENTS iii
3.3 Perfect Option Replication 40
3.3.1 Generalities 40
3.3.2 Smooth Functions as Solutions of the Replication Problem 42
3.3.3 A Quasilinear PDE for the Hedging Strategy 47
3.4 Analysis of the PDE for the Hedging Strategy 51
3.4.1 The Main Result 51
3.4.2 Transformations 53
3.4.3 The Cauchy Problem (3.28), (3.25) 55
3.4.4 Properties of Solutions 55
3.4.5 Proof of Theorem 3.11 57
3.5 Comparison with the Black Scholes Theory 58
3.5.1 Asset Price Dynamics 58
3.5.2 Shape of the Hedge Ratio 59
3.5.3 Cost of Hedging 60
3.6 Summary 60
3.7 Results from Simulations 62
4 Conclusions 67
A Mathematical Appendix 69
A.I Complements to Chapter 2 69
A.I.I Complements to Section 3 69
A.1.2 Complements to Section 4: 70
A.2 Complements to Chapter 3 72
A.2.1 Proof of Lemma 3.6 72
A.2.2 Proof of Proposition 3.12 73
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| genre_facet | Hochschulschrift |
| id | DE-604.BV010913600 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:01:03Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007301072 |
| oclc_num | 61907587 |
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| physical | III, 80 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
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| spelling | Frey, Rüdiger Verfasser aut Asset price volatility and option hedging in imperfectly elastic markets von Rüdiger Frey 1995 III, 80 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1996 Option (DE-588)4115452-6 gnd rswk-swf Unvollkommener Kreditmarkt (DE-588)4128333-8 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Unvollständige Konkurrenz (DE-588)4121834-6 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Hedging (DE-588)4123357-8 s Option (DE-588)4115452-6 s Unvollständige Konkurrenz (DE-588)4121834-6 s DE-604 Kapitalmarkt (DE-588)4029578-3 s Modell (DE-588)4039798-1 s Volatilität (DE-588)4268390-7 s Unvollkommener Kreditmarkt (DE-588)4128333-8 s Optionspreistheorie (DE-588)4135346-8 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007301072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Frey, Rüdiger Asset price volatility and option hedging in imperfectly elastic markets Option (DE-588)4115452-6 gnd Unvollkommener Kreditmarkt (DE-588)4128333-8 gnd Modell (DE-588)4039798-1 gnd Optionspreistheorie (DE-588)4135346-8 gnd Hedging (DE-588)4123357-8 gnd Volatilität (DE-588)4268390-7 gnd Unvollständige Konkurrenz (DE-588)4121834-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4115452-6 (DE-588)4128333-8 (DE-588)4039798-1 (DE-588)4135346-8 (DE-588)4123357-8 (DE-588)4268390-7 (DE-588)4121834-6 (DE-588)4029578-3 (DE-588)4113937-9 |
| title | Asset price volatility and option hedging in imperfectly elastic markets |
| title_auth | Asset price volatility and option hedging in imperfectly elastic markets |
| title_exact_search | Asset price volatility and option hedging in imperfectly elastic markets |
| title_full | Asset price volatility and option hedging in imperfectly elastic markets von Rüdiger Frey |
| title_fullStr | Asset price volatility and option hedging in imperfectly elastic markets von Rüdiger Frey |
| title_full_unstemmed | Asset price volatility and option hedging in imperfectly elastic markets von Rüdiger Frey |
| title_short | Asset price volatility and option hedging in imperfectly elastic markets |
| title_sort | asset price volatility and option hedging in imperfectly elastic markets |
| topic | Option (DE-588)4115452-6 gnd Unvollkommener Kreditmarkt (DE-588)4128333-8 gnd Modell (DE-588)4039798-1 gnd Optionspreistheorie (DE-588)4135346-8 gnd Hedging (DE-588)4123357-8 gnd Volatilität (DE-588)4268390-7 gnd Unvollständige Konkurrenz (DE-588)4121834-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Option Unvollkommener Kreditmarkt Modell Optionspreistheorie Hedging Volatilität Unvollständige Konkurrenz Kapitalmarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007301072&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT freyrudiger assetpricevolatilityandoptionhedginginimperfectlyelasticmarkets |