| Robust Static Super-Replication of Barrier Options Contributor(s): Maruhn, Jan H. (Author) |
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ISBN: 3110204681 ISBN-13: 9783110204681 Publisher: de Gruyter OUR PRICE: $247.00 Product Type: Hardcover - Other Formats Published: July 2009 |
| Additional Information |
| BISAC Categories: - Mathematics | Linear & Nonlinear Programming - Mathematics | Applied - Mathematics | Calculus |
| Dewey: 515 |
| Series: Radon Computational and Applied Mathematics |
| Physical Information: 0.5" H x 6.69" W x 9.61" (1.19 lbs) 209 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |