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

Autor Jan H. Maruhn
en Mixed media product – 13 iul 2009
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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Specificații

ISBN-13: 9783119165853
ISBN-10: 3119165859
Ilustrații: Includes a print version and an ebook
Ediția:
Editura: De Gruyter
Seria Radon Series on Computational and Applied Mathematics

Locul publicării:Berlin/Boston

Notă biografică

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