Items related to Robust Static Super-Replication of Barrier Options:...

Robust Static Super-Replication of Barrier Options: 7 (Radon Series on Computational and Applied Mathematics) - Softcover

Maruhn, Jan H.

 
9783119165853: Robust Static Super-Replication of Barrier Options: 7 (Radon Series on Computational and Applied Mathematics)
Softcover
ISBN 10: 3119165859 ISBN 13: 9783119165853
Publisher: Walter de Gruyter & Co, 2009

This specific ISBN edition is currently not available.

Synopsis

Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.

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About the Author

Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.

"About this title" may belong to another edition of this title.

Publisher
Walter de Gruyter & Co
Publication date
2009
Language
English
ISBN 10 
3119165859
ISBN 13 
9783119165853
Binding
Paperback
Number of pages
197

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Other Popular Editions of the Same Title

9783110204681: Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)

Featured Edition

ISBN 10:  3110204681 ISBN 13:  9783110204681
Publisher: De Gruyter, 2009
Hardcover