Robust Static Super-Replication of Barrier Options /

Robust Static Super-Replication of Barrier Options / / Jan H. Maruhn.

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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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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1
VerfasserIn:
Maruhn, Jan H.,
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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Table of 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

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