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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin ; New York :
W. de Gruyter,
©2009.
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| Colección: | Radon series on computational and applied mathematics ;
7. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Descripción Física: | 1 online resource (xii, 197 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9783110208511 3110208512 1282296469 9781282296466 |
| ISSN: | 1865-3707 ; |