Description: Further DetailsTitle: Robust Static Super-Replication of Barrier OptionsCondition: NewFormat: HardbackISBN-10: 3110204681EAN: 9783110204681ISBN: 9783110204681Publisher: De GruyterRelease Date: 07/15/2009Description: 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.Language: EnglishCountry/Region of Manufacture: DEItem Weight: 543gAuthor: Jan H. MaruhnGenre: Science Nature & MathBook Series: Radon Series on Computational and Applied MathematicsTopic: Business & FinanceItem Height: 240mmItem Length: 170mmType: MathematicsRelease Year: 2009 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.
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Book Title: Robust Static Super-Replication of Barrier Options
Title: Robust Static Super-Replication of Barrier Options
ISBN-10: 3110204681
EAN: 9783110204681
ISBN: 9783110204681
Release Date: 07/15/2009
Release Year: 2009
Country/Region of Manufacture: DE
Genre: Science Nature & Math
Topic: Business & Finance
Item Height: 240mm
Number of Pages: 209 Pages
Language: English
Publication Name: Robust Static Super-Replication of Barrier Options
Publisher: DE Gruyter Gmbh, Walter
Publication Year: 2009
Subject: Probability & Statistics / Stochastic Processes, Linear & Nonlinear Programming, General, Differential Equations / Partial, Applied
Type: Textbook
Item Weight: 19.2 Oz
Item Length: 9.4 in
Subject Area: Mathematics
Author: Jan H. Maruhn
Series: Radon Series on Computational and Applied Mathematics Ser.
Item Width: 6.7 in
Format: Hardcover
