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:
Options (Finance) > Mathematical models.
Hedging (Finance) > Mathematical models.
Options (Finances) > Modèles mathématiques.
Couverture (Finances) > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Hedging (Finance) > Mathematical models
Options (Finance) > Mathematical models
Hedging
Volatilität
Optimierung
Barrier options
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Frontmatter
  • Contents
  • 1. Theoretical Background
  • 2. Static Hedging of Barrier Options
  • 3. An Optimization Approach to Static Super-Replication
  • 4. Reformulation as a Semi-Infinite Problem
  • 5. Eliminating Model Parameter Uncertainty
  • 6. Modifications and Extensions
  • 7. Avoiding Model Errors
  • 8. Empirical Hedge Performance
  • 9. Summary and Outlook
  • A. General Existence Theorem
  • B. Source Code
  • Backmatter.

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