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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Maruhn, Jan H.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin ; New York : W. de Gruyter, ©2009.
Colección:Radon series on computational and applied mathematics ; 7.
Temas:
Acceso en línea:Texto completo