This paper extends the static hedging portfolio SHP approach of Derman et al. We use standard European calls puts to construct the SHPs for American up-and-in down-and-in puts. We also use theta-matching condition to improve the performance of the SHP approach.

Numerical results indicate that the hedging effectiveness of a bi-monthly SHP is far less risky than that of a delta-hedging portfolio with daily rebalance. The numerical accuracy of the proposed method is comparable to the trinomial tree methods of Ritchken and Boyle and Tian If you experience problems downloading a file, check if you have the proper application to view it first.

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Institutional Investor Journals: The Journal of Derivatives - 20(4)

Note that these files are not on the IDEAS site. Please be patient as the files may be large. Full text for ScienceDirect subscribers only As the access to this document is restricted, you may want to look for a different version under "Related research" further below or search for a different version of it. American knock-in options ; Static hedging portfolio ; Theta-matching condition ; CEV model ; Hedging effectiveness ; Find related papers by JEL classification: G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Stern School Finance Department Working Paper SeiresNew York University, Leonard N.

Stern School of Business. Schroder, Static hedging and pricing american knock out options Douglas, A New Approach to Efficient Option Pricing ," New York University, Leonard N.

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Institutional Investor Journals: The Journal of Derivatives - 20(4)

Static hedging and pricing American knock-in put options. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections.

Chung, San-Lin Shih, Pai-Ta Tsai, Wei-Che. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window.

G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing. References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.

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Static Hedging and Pricing American Knock-Out Options by Chung San-Lin, Pai-Ta Shih, Wei-Che Tsai :: SSRN

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