Robust Static Super-Replication of Barrier Options
Language: English
Published by De Gruyter, 2009
Series: Book 2 of 28 - Radon Series on Computational and Applied Mathematics
- Hardcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 169.61
Quantity: 1 available
Add to basketItem description from seller
Druck auf Anfrage Neuware - Printed after ordering - 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.
Seller Inventory # 9783110204681
- Title
- Robust Static Super-Replication of Barrier Options
- Author
- Jan H. Maruhn
- Publisher
- De Gruyter
- Publication year
- 2009
- Condition
- Neu
- Binding
- Buch
- Language
- English
- ISBN 10
- 3110204681
- ISBN 13
- 9783110204681
- Item weight
- 547 grams
- Dimensions
- 246x175x18 mm
- Series
- Book 2 of 28: Radon Series on Computational and Applied Mathematics
"Synopsis" may belong to another edition of this title.
About the Author
Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.
"About the title" may belong to another edition of this title.
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