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...
Saved in:
| Superior document: | Title is part of eBook package: De Gruyter DGBA Backlist Complete English Language 2000-2014 PART1 |
|---|---|
| VerfasserIn: | |
| 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. |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!