Robust Static Super-replication of Barrier Options (Radon Series on Computational and Applied Mathematics): 7 - Hardcover
Book 2 of 28: Radon Series on Computational and Applied Mathematics
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.
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Robust Static Super-Replication of Barrier Options. Radon Series on Computational and Applied Mathematics, 7.
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Robust Static Super-Replication of Barrier Options
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Condition: Neu. 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. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Statt EUR 179,95. Gewicht: 480 g - Gebunden/Gebundene Ausgabe. Seller Inventory # 86836
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Robust Static Super-Replication of Barrier Options
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Hardcover. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see th. Seller Inventory # 26739219
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Robust Static Super-Replication of Barrier Options (eng)
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Robust Static Super-Replication of Barrier Options
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De Gruyter, De Gruyter Jul 2009, 2009
ISBN 10: 3110204681
ISBN 13: 9783110204681
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. 212 pp. Englisch. Seller Inventory # 9783110204681
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Robust Static Super-Replication of Barrier Options
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Condition: As New. Unread book in perfect condition. Seller Inventory # 7044607