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 ,
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| Physical Description: | 1 online resource (197 p.) :; Figs. and tabs. |
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(DE-B1597)34910 (OCoLC)456907359 |
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Maruhn, Jan H., author. aut http://id.loc.gov/vocabulary/relators/aut Robust Static Super-Replication of Barrier Options / Jan H. Maruhn. Berlin ; Boston : De Gruyter, [2009] ©2009 1 online resource (197 p.) : Figs. and tabs. text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Radon Series on Computational and Applied Mathematics , 1865-3707 ; 7 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 restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star 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. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 28. Feb 2023) Hedging (Finance) -- Mathematical models. Hedging (Finance) Mathematical models. Options (Finance) -- Mathematical models. Options (Finance) Mathematical models. Finanzmathematik. Optimierung. Volatilität. MATHEMATICS / Linear & Nonlinear Programming. bisacsh Barrier Options. Robust Optimization. Semi-infinite Optimization. Semidefinite Programming. Static Hedging. Stochastic Volatility. Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 9783110238570 Title is part of eBook package: De Gruyter DGBA Backlist Mathematics 2000-2014 (EN) 9783110238471 Title is part of eBook package: De Gruyter DGBA Mathematics - 2000 - 2014 9783110637205 ZDB-23-GMA Title is part of eBook package: De Gruyter E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2009 9783110219517 ZDB-23-DGG Title is part of eBook package: De Gruyter E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2009 9783110219524 Title is part of eBook package: De Gruyter E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2009 9783110219463 ZDB-23-DMN Title is part of eBook package: De Gruyter Radon Series on Applied Mathematics eBook-Package 9783110647174 print 9783110204681 https://doi.org/10.1515/9783110208511 https://www.degruyter.com/isbn/9783110208511 Cover https://www.degruyter.com/document/cover/isbn/9783110208511/original |
| language |
English |
| format |
eBook |
| author |
Maruhn, Jan H., Maruhn, Jan H., |
| spellingShingle |
Maruhn, Jan H., Maruhn, Jan H., Robust Static Super-Replication of Barrier Options / Radon Series on Computational and Applied Mathematics , 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 |
| author_facet |
Maruhn, Jan H., Maruhn, Jan H., |
| author_variant |
j h m jh jhm j h m jh jhm |
| author_role |
VerfasserIn VerfasserIn |
| author_sort |
Maruhn, Jan H., |
| title |
Robust Static Super-Replication of Barrier Options / |
| title_full |
Robust Static Super-Replication of Barrier Options / Jan H. Maruhn. |
| title_fullStr |
Robust Static Super-Replication of Barrier Options / Jan H. Maruhn. |
| title_full_unstemmed |
Robust Static Super-Replication of Barrier Options / Jan H. Maruhn. |
| title_auth |
Robust Static Super-Replication of Barrier Options / |
| title_alt |
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 |
| title_new |
Robust Static Super-Replication of Barrier Options / |
| title_sort |
robust static super-replication of barrier options / |
| series |
Radon Series on Computational and Applied Mathematics , |
| series2 |
Radon Series on Computational and Applied Mathematics , |
| publisher |
De Gruyter, |
| publishDate |
2009 |
| physical |
1 online resource (197 p.) : Figs. and tabs. Issued also in print. |
| contents |
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 |
| isbn |
9783110208511 9783110238570 9783110238471 9783110637205 9783110219517 9783110219524 9783110219463 9783110647174 9783110204681 |
| issn |
1865-3707 ; |
| callnumber-first |
H - Social Science |
| callnumber-subject |
HG - Finance |
| callnumber-label |
HG6024 |
| callnumber-sort |
HG 46024 A3 M37 42009EB |
| url |
https://doi.org/10.1515/9783110208511 https://www.degruyter.com/isbn/9783110208511 https://www.degruyter.com/document/cover/isbn/9783110208511/original |
| illustrated |
Not Illustrated |
| dewey-hundreds |
300 - Social sciences |
| dewey-tens |
330 - Economics |
| dewey-ones |
332 - Financial economics |
| dewey-full |
332.6322830151962 |
| dewey-sort |
3332.6322830151962 |
| dewey-raw |
332.6322830151962 |
| dewey-search |
332.6322830151962 |
| doi_str_mv |
10.1515/9783110208511 |
| oclc_num |
456907359 |
| work_keys_str_mv |
AT maruhnjanh robuststaticsuperreplicationofbarrieroptions |
| status_str |
n |
| ids_txt_mv |
(DE-B1597)34910 (OCoLC)456907359 |
| carrierType_str_mv |
cr |
| hierarchy_parent_title |
Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 Title is part of eBook package: De Gruyter DGBA Backlist Mathematics 2000-2014 (EN) Title is part of eBook package: De Gruyter DGBA Mathematics - 2000 - 2014 Title is part of eBook package: De Gruyter E-BOOK GESAMTPAKET / COMPLETE PACKAGE 2009 Title is part of eBook package: De Gruyter E-BOOK PACKAGE ENGLISH LANGUAGES TITLES 2009 Title is part of eBook package: De Gruyter E-BOOK PAKET SCIENCE TECHNOLOGY AND MEDICINE 2009 Title is part of eBook package: De Gruyter Radon Series on Applied Mathematics eBook-Package |
| is_hierarchy_title |
Robust Static Super-Replication of Barrier Options / |
| container_title |
Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 |
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1770177437572792320 |
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