{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/14974"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/14974","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Static hedging of barrier options : a review of four methods","abstract":"This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical usefulness of the static hedging schemes in comparison with dynamic delta hedging. Only one of the four models, by Derman, Ergener and Kani (1995) seems to show promise when transaction costs and stochastic volatility are taken into account.","abstract_html":"This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical usefulness of the static hedging schemes in comparison with dynamic delta hedging. Only one of the four models, by Derman, Ergener and Kani (1995) seems to show promise when transaction costs and stochastic volatility are taken into account.","abstract_has_math":false,"creators":["Bosman, Petrus"],"institution":"Department of Mathematics and Applied Mathematics","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Ouwehand, Peter"],"committee_chairs":[],"committee_members":[],"year":2003,"date_issued":"2003","date_published":"2003","updated_at":"2026-07-22T22:22:54Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/14974","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Ouwehand, Peter"]},{"key":"dc:creator","label":"Author","values":["Bosman, Petrus"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-11-16T03:54:29Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-11-16T03:54:29Z"]},{"key":"dc:date.issued","label":"Date","values":["2003"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Mathematics and Applied Mathematics"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/14974"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Bibliography: leaves 85-87."]},{"key":"dc:description.abstract","label":"Abstract","values":["This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical usefulness of the static hedging schemes in comparison with dynamic delta hedging. Only one of the four models, by Derman, Ergener and Kani (1995) seems to show promise when transaction costs and stochastic volatility are taken into account."]},{"key":"dc:title","label":"Title","values":["Static hedging of barrier options : a review of four methods"]}]}],"canonical_facts":{"dc:contributor.advisor":["Ouwehand, Peter"],"dc:creator":["Bosman, Petrus"],"dc:date.accessioned":["2015-11-16T03:54:29Z"],"dc:date.available":["2015-11-16T03:54:29Z"],"dc:date.issued":["2003"],"dc:description":["Bibliography: leaves 85-87."],"dc:description.abstract":["This paper examines the static hedging of a European up-and-out call option. Four different static hedging models are examined in detail and are implemented. Their hedging performance is examined in a framework that aims to simulate real market conditions. This is done to determine the practical usefulness of the static hedging schemes in comparison with dynamic delta hedging. Only one of the four models, by Derman, Ergener and Kani (1995) seems to show promise when transaction costs and stochastic volatility are taken into account."],"dc:identifier.uri":["http://hdl.handle.net/11427/14974"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Mathematics and Applied Mathematics"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Static hedging of barrier options : a review of four methods"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:22:54Z"}