Guaranteed stop orders as portfolio insurance – An analysis for the German stock market

In this study, we analyze the effects of Guaranteed Stop Orders (GSOs) on stocks in the German stock index DAX. We briefly explain how GSOs work and then we develop a jump process, based on a Variance Gamma Process, to model the share prices. We show through simulations that the payoff of a GSO is p...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of Derivatives & Hedge Funds 2014-11, Vol.20 (4), p.257-278
Hauptverfasser:	Leicht, Jonathan Josef, Rathgeber, Andreas W
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Calendars Economics and Finance Finance Investments Investors Original Article Prices Securities markets Stock exchanges Stock prices Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!