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Robust Static Super-Replication of Barrier Options
Jan H. Maruhn (Author)
·
De Gruyter
· Hardcover
Robust Static Super-Replication of Barrier Options - Jan H. Maruhn
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Origin: U.S.A.
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Synopsis "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 well as model errors. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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