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Introduction
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Classroom Contents
Semi-Parametric Pricing and Hedging of Barrier-Style Claims on Price and Volatility
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- 1 Introduction
- 2 SemiParametric Pricing
- 3 NonParametric Pricing
- 4 SemiParametric Approach
- 5 Assumptions
- 6 Model Assumptions
- 7 BarrierStyle Claims
- 8 Exponential Claims
- 9 Conditioning on the Path of Sigma
- 10 Replication Strategy
- 11 Pricing and Replication Strategy
- 12 Knockin Style Claims
- 13 Exponential Knockout Style Claims
- 14 Knockout Style Claim
- 15 European Style Claim
- 16 Example
- 17 Takeaway
- 18 Rebate Style Claims
- 19 How would you price and replicate
- 20 The payoff
- 21 The European claim
- 22 The main shortcoming
- 23 Time change exponential models
- 24 Variance swap
- 25 Shift operator
- 26 Proof
- 27 Discussion
