The core of the thesis is built by an analysis of a realistic setting of option hedging in an illiquid market. The Eastern European Share Price Index CECEEUR represents such a market. Different market models and different hedging strategies are investigated to get a notion of the size of transaction costs of replicating trading strategies. Additionally, a relatively liquid market, the Suisse SMI index, is examined using the same methodology. Therefore, the differences between options hedging in an illiquid and a liquid market are investigated. The main focus lies on a realistic modelling of the underlying dynamics (esp. GARCH) and of the option valuation (Heston).     «

The core of the thesis is built by an analysis of a realistic setting of option hedging in an illiquid market. The Eastern European Share Price Index CECEEUR represents such a market. Different market models and different hedging strategies are investigated to get a notion of the size of transaction costs of replicating trading strategies. Additionally, a relatively liquid market, the Suisse SMI index, is examined using the same methodology. Therefore, the differences between options hedging in...     »