Robust Static Super-Replication of Barrier Options / / Jan H. Maruhn.
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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Superior document: | Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 |
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Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2009] ©2009 |
Year of Publication: | 2009 |
Language: | English |
Series: | Radon Series on Computational and Applied Mathematics ,
7 |
Online Access: | |
Physical Description: | 1 online resource (197 p.) :; Figs. and tabs. |
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020 | |a 9783110208511 | ||
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100 | 1 | |a Maruhn, Jan H., |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
245 | 1 | 0 | |a Robust Static Super-Replication of Barrier Options / |c Jan H. Maruhn. |
264 | 1 | |a Berlin ; |a Boston : |b De Gruyter, |c [2009] | |
264 | 4 | |c ©2009 | |
300 | |a 1 online resource (197 p.) : |b Figs. and tabs. | ||
336 | |a text |b txt |2 rdacontent | ||
337 | |a computer |b c |2 rdamedia | ||
338 | |a online resource |b cr |2 rdacarrier | ||
347 | |a text file |b PDF |2 rda | ||
490 | 0 | |a Radon Series on Computational and Applied Mathematics , |x 1865-3707 ; |v 7 | |
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 |
506 | 0 | |a restricted access |u http://purl.org/coar/access_right/c_16ec |f online access with authorization |2 star | |
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 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. | ||
530 | |a Issued also in print. | ||
538 | |a Mode of access: Internet via World Wide Web. | ||
546 | |a In English. | ||
588 | 0 | |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 28. Feb 2023) | |
650 | 0 | |a Hedging (Finance) -- Mathematical models. | |
650 | 0 | |a Hedging (Finance) |x Mathematical models. | |
650 | 0 | |a Options (Finance) -- Mathematical models. | |
650 | 0 | |a Options (Finance) |x Mathematical models. | |
650 | 4 | |a Finanzmathematik. | |
650 | 4 | |a Optimierung. | |
650 | 4 | |a Volatilität. | |
650 | 7 | |a MATHEMATICS / Linear & Nonlinear Programming. |2 bisacsh | |
653 | |a Barrier Options. | ||
653 | |a Robust Optimization. | ||
653 | |a Semi-infinite Optimization. | ||
653 | |a Semidefinite Programming. | ||
653 | |a Static Hedging. | ||
653 | |a Stochastic Volatility. | ||
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DGBA Backlist Complete English Language 2000-2014 PART1 |z 9783110238570 |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DGBA Backlist Mathematics 2000-2014 (EN) |z 9783110238471 |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DGBA Mathematics - 2000 - 2014 |z 9783110637205 |o ZDB-23-GMA |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2009 |z 9783110219517 |o ZDB-23-DGG |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2009 |z 9783110219524 |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2009 |z 9783110219463 |o ZDB-23-DMN |
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t Radon Series on Applied Mathematics eBook-Package |z 9783110647174 |
776 | 0 | |c print |z 9783110204681 | |
856 | 4 | 0 | |u https://doi.org/10.1515/9783110208511 |
856 | 4 | 0 | |u https://www.degruyter.com/isbn/9783110208511 |
856 | 4 | 2 | |3 Cover |u https://www.degruyter.com/document/cover/isbn/9783110208511/original |
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912 | |a 978-3-11-023857-0 DGBA Backlist Complete English Language 2000-2014 PART1 |c 2000 |d 2014 | ||
912 | |a 978-3-11-064717-4 Radon Series on Applied Mathematics eBook-Package | ||
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