Is it important to consider the jump component for pricing and hedging shot-term options

Article Abstract:

The conclusions of study conducted to assess the usefulness of jump component for pricing and hedging short-term options with reference to KOSPI ( Korean Composite Stock Price Index) 200 Index options are presented.

Author: Kim, In Joon, Kim, Sol
South Korea, Stock price indexes

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Volatility options: hedging effectiveness, pricing, and model error

Article Abstract:

A comparison of hedging risks and pricing of volatility options with that of standard options is presented. Monte Carlo simulations are used for the purpose.

Author: Skiadopoulos, George, Psychoyios, Dimitris
United States, Methods, Usage, Comparative analysis, Monte Carlo method, Monte Carlo methods

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An empirical examination of the pricing of exchange -- traded barrier options

Article Abstract:

A study comparing the pricing of traded barrier options of Australian Stock Exchange and standard European options is presented.

Author: Easton, Steve, Gerlach, Richard, Graham, Melissa, Tuyl, Frank
Australia, Europe, Evaluation, Economic aspects, Securities

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Subjects list: Analysis, Prices and rates, Options (Finance), Hedging (Finance), Company pricing policy
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