Robust Static Super-Replication of Barrier Options

Maruhn, Jan H.

ISBN 10: 3110204681 / ISBN 13: 9783110204681

Verlag: Walter de Gruyter Verlag, 2009

Beschreibung

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. XII,197 Seiten, gebunden (Walter de Gruyter Verlag 2009). Statt EUR 179,95. Gewicht: 480 g - Gebunden/Gebundene Ausgabe - Sprache: Englisch.

Bestandsnummer des Verkäufers 86836

Bibliografische Details

• Titel: Robust Static Super-Replication of Barrier Options
• Verlag: Walter de Gruyter Verlag
• Erscheinungsjahr: 2009
• Sprache: Englisch
• ISBN-10: 3110204681
• ISBN-13: 9783110204681
• Einband: Hardcover
• Zustand: Neu
• Gewicht: 480 Gramm
• Verkäuferkataloge:
  • Wirtschaftswissenschaften

Über diesen Titel

Inhaltsangabe

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.

Über die Autorin bzw. den Autor

Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.