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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 |
|---|---|
| Autor principal: | |
| 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 |
MARC
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| 100 | 1 | |a Maruhn, Jan H. | |
| 245 | 1 | 0 | |a Robust static super-replication of barrier options / |c Jan H. Maruhn. |
| 260 | |a Berlin ; |a New York : |b W. de Gruyter, |c ©2009. | ||
| 300 | |a 1 online resource (xii, 197 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a Radon series on computational and applied mathematics, |x 1865-3707 ; |v 7 | |
| 504 | |a Includes bibliographical references and index. | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | 0 | |t Frontmatter -- |t Contents -- |t 1. Theoretical Background -- |t 2. Static Hedging of Barrier Options -- |t 3. An Optimization Approach to Static Super-Replication -- |t 4. Reformulation as a Semi-Infinite Problem -- |t 5. Eliminating Model Parameter Uncertainty -- |t 6. Modifications and Extensions -- |t 7. Avoiding Model Errors -- |t 8. Empirical Hedge Performance -- |t 9. Summary and Outlook -- |t A. General Existence Theorem -- |t B. Source Code -- |t Backmatter. |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Hedging (Finance) |x Mathematical models. | |
| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Couverture (Finances) |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Hedging (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Options (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Hedging |2 gnd | |
| 650 | 7 | |a Volatilität |2 gnd | |
| 650 | 7 | |a Optimierung |2 gnd | |
| 650 | 7 | |a Barrier options |2 gnd | |
| 758 | |i has work: |a Robust static super-replication of barrier options (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGfb7vmmmfXhbG8GqJydjP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Maruhn, Jan H. |t Robust static super-replication of barrier options. |d Berlin ; New York : W. de Gruyter, ©2009 |z 9783110204681 |
| 830 | 0 | |a Radon series on computational and applied mathematics ; |v 7. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=453919 |z Texto completo |
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