Robust static super-replication of barrier options /
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 wel...
| Основен автор: | Maruhn, Jan H. |
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| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Berlin ; New York :
W. de Gruyter,
℗♭2009.
|
| Серия: |
Radon series on computational and applied mathematics ;
7. |
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=293684 |
| Подобни документи: |
Print version::
Robust static super-replication of barrier options. |
| Резюме: |
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. |
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| Физически характеристики: |
1 online resource (xii, 197 pages) : illustrations. |
| Библиография: |
Includes bibliographical references and index. |
| ISBN: |
9783110208511 3110208512 1282296469 9781282296466 |
| ISSN: |
1865-3707 ; |