Robust Static Super-Replication of Barrier Options
Author:   Jan H Maruhn
Publisher:   Walter de Gruyter
ISBN:  

9781282296466


Pages:   250
Publication Date:   01 January 2009
Format:   Electronic book text
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Our Price $443.52 Quantity:  
Add to Cart

Share |

Robust Static Super-Replication of Barrier Options


Add your own review!

Overview

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. Combined with associated sub-replication strategies this leads to empirically robust price bounds for barrier options which are also relevant in the context of dynamic hedging.

Full Product Details

Author:   Jan H Maruhn
Publisher:   Walter de Gruyter
Imprint:   Walter de Gruyter
ISBN:  

9781282296466


ISBN 10:   1282296469
Pages:   250
Publication Date:   01 January 2009
Audience:   General/trade ,  General
Format:   Electronic book text
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Reviews

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions
Latest Reading Guide

MRG2025CC

 

Shopping Cart
Your cart is empty
 Shopping cart
Mailing List

 

Sign up now