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Robust Static Super-Replication of Barrier Options

279,55 
279,55 
2025-07-31 279.5500 InStock
Nemokamas pristatymas į paštomatus per 18-22 darbo dienų užsakymams nuo 19,00 

Knygos aprašymas

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.

Informacija

Autorius: Jan H. Maruhn
Serija: ISSN
Leidėjas: De Gruyter
Išleidimo metai: 2009
Knygos puslapių skaičius: 212
ISBN-10: 3110204681
ISBN-13: 9783110204681
Formatas: Knyga kietu viršeliu
Kalba: Anglų
Žanras: Linear programming

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