l*******3
发帖数: 186 | 1 question:
1. given the choice between two different static replication portfolios
that
match an option's payoff, what criteria would you use to decide between
the
two?
2. what are some of the practical problems of dynamic replication?
transaction cost (so we cannot replicate too frequently).
any other concerns?
Thank you! |
C***m
发帖数: 120 | 2 1. I prefer static replication to dynamic replication, as long as it is
possible. If one cannot perfectly replicate the final payoff using simple
static replication, then go dynamic.
2. (a) market liquidity,可能找不到足够多的量来复制，比如ATM digital option
（b）dynamic 只能replicate 一些greeks. 比如delta hedge,可能会有gamma risk.
(c) dynamic 多少需要模型来决定。模型的risk
胡说几句，大牛们轻拍。
that
the
【在 l*******3 的大作中提到】
: question:
: 1. given the choice between two different static replication portfolios
: that
: match an option's payoff, what criteria would you use to decide between
: the
: two?
: 2. what are some of the practical problems of dynamic replication?
: transaction cost (so we cannot replicate too frequently).
: any other concerns?
: Thank you!
|
r**a
发帖数: 536 | 3
that
the
I guess you need to consider the P&L of those two hedging.
【在 l*******3 的大作中提到】
: question:
: 1. given the choice between two different static replication portfolios
: that
: match an option's payoff, what criteria would you use to decide between
: the
: two?
: 2. what are some of the practical problems of dynamic replication?
: transaction cost (so we cannot replicate too frequently).
: any other concerns?
: Thank you!
|
m******2
发帖数: 564 | 4 主要麻烦是不服从Geometric Brownian Motion |
