Robust Static Super-Replication of Barrier Options / Radon Series on Computational and Applied Mathematics Bd.7 (PDF)
(Sprache: Englisch)
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...
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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.
Autoren-Porträt von Jan H. Maruhn
Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.
Bibliographische Angaben
- Autor: Jan H. Maruhn
- 2009, 1. Auflage, 209 Seiten, Englisch
- Verlag: Walter de Gruyter
- ISBN-10: 3110208512
- ISBN-13: 9783110208511
- Erscheinungsdatum: 14.07.2009
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Dateiformat: PDF
- Grösse: 1.87 MB
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Sprache:
Englisch
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