Robust Static Super-Replication of Barrier Options (English, Jan H. Maruhn)

Name: Robust Static Super-Replication of Barrier Options (English, Jan H. Maruhn)
Brand: Jan H. Maruhn
SKU: isbn-9783110204681
Price: 20367 INR
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by Jan H. Maruhn

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Book Details

Publisher

de Gruyter

Language

English

ISBN-13

9783110204681

ISBN-10

3110204681

Author

Jan H. Maruhn

About the Book

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…

ISBN: 9783110204681

ISBN-13: 9783110204681

ISBN-10: 3110204681

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Product ID: isbn-9783110204681