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Opis

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.

Szczegóły książki

Kategoria Knihy po anglicky Mathematics & science Mathematics Applied mathematics

• Pełny tytuł: Robust Static Super-Replication of Barrier Options
• Autor: Jan H. Maruhn
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 209
• EAN: 9783110204681
• ISBN: 3110204681
• ID: 12565477
• Wydawca: De Gruyter
• Waga: 543 g
• Wymiary: 246 × 175 × 18 mm
• Data wydania: 15. July 2009

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