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Robust Static Super-Replication of Barrier Options (in English)
Jan H. Maruhn (Author)
·
De Gruyter
· Hardcover
Robust Static Super-Replication of Barrier Options (in English) - Jan H. Maruhn
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Synopsis "Robust Static Super-Replication of Barrier Options (in English)"
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.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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