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Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7) - Hardcover

Buch 2 von 28: Radon Series on Computational and Applied Mathematics

Maruhn, Jan H.

 
9783110204681: Robust Static Super-Replication of Barrier Options (Radon Series on Computational and Applied Mathematics, 7)
Hardcover
ISBN 10: 3110204681 ISBN 13: 9783110204681
Verlag: De Gruyter, 2009

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. 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 in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

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Über die Autorin bzw. den Autor

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

Von der hinteren Coverseite

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 in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
De Gruyter
Erscheinungsdatum
2009
Sprache
Englisch
ISBN 10 
3110204681
ISBN 13 
9783110204681
Einband
Gebundene Ausgabe
Auflage
1
Anzahl der Seiten
209
Kontakt zum Hersteller
Walter de Gruyter GmbH
productsafety@degruyterbrill.com

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Berlin
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Deutschland