Back to Search

Robust Static Super-Replication of Barrier Options

AUTHOR Maruhn, Jan H.
PUBLISHER de Gruyter (07/15/2009)
PRODUCT TYPE Hardcover (Hardcover)

Description

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.

Show More
Product Format
Product Details
ISBN-13: 9783110204681
ISBN-10: 3110204681
Binding: Hardback or Cased Book (Sewn)
Content Language: English
More Product Details
Page Count: 209
Carton Quantity: 34
Product Dimensions: 6.69 x 0.50 x 9.61 inches
Weight: 1.19 pound(s)
Country of Origin: DE
Subject Information
BISAC Categories
Mathematics | Linear & Nonlinear Programming
Mathematics | Applied
Mathematics | Calculus
Grade Level: Post Graduate - Post Graduate
Dewey Decimal: 515
Descriptions, Reviews, Etc.
publisher marketing

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.

Show More
List Price $280.00
Your Price  $277.20
Hardcover