Seminar in Financial Mathematics
연사 : 임주영 박사 (Credit Derivative Quant at JPMorgan, New York)
Ph.D. in Financial Mathematics at Courant Institute of Mathematical Sciences, NYU
일시 : 2007. 7. 23(월), 17:00
장소 : 수리과학과 산업경영학동 3221호실
제목 : Tranasaction costs for hedging a stock option position when rebalanced in random time.
Abstract: We estimate the transaction cost for dynamically hedging a stock option position when the option writer rebalances the hedging portfolio only when the risk exceeds a threshold level. We start by deriving the PDE for the replicating cost for the stock option cum transaction cost and find that the PDE is nonlinear. We explore different types of rebalancing strategies proposed by practitioners and present the numerical results for them.
문의 : 강완모교수(T.2733) wanmo.kang@kaist.ac.kr
연사 : 임주영 박사 (Credit Derivative Quant at JPMorgan, New York)
Ph.D. in Financial Mathematics at Courant Institute of Mathematical Sciences, NYU
일시 : 2007. 7. 23(월), 17:00
장소 : 수리과학과 산업경영학동 3221호실
제목 : Tranasaction costs for hedging a stock option position when rebalanced in random time.
Abstract: We estimate the transaction cost for dynamically hedging a stock option position when the option writer rebalances the hedging portfolio only when the risk exceeds a threshold level. We start by deriving the PDE for the replicating cost for the stock option cum transaction cost and find that the PDE is nonlinear. We explore different types of rebalancing strategies proposed by practitioners and present the numerical results for them.
문의 : 강완모교수(T.2733) wanmo.kang@kaist.ac.kr
