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  • 1
    Online Resource
    Online Resource
    Berlin ;Boston :De Gruyter,
    UID:
    edocfu_9958353744702883
    Format: 1 online resource (209p.): , Figs. and tabs.
    ISBN: 9783110208511
    Series Statement: Radon Series on Computational and Applied Mathematics ; 7
    Content: 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.
    Note: Frontmatter -- , Contents -- , 1. Theoretical Background -- , 2. Static Hedging of Barrier Options -- , 3. An Optimization Approach to Static Super-Replication -- , 4. Reformulation as a Semi-Infinite Problem -- , 5. Eliminating Model Parameter Uncertainty -- , 6. Modifications and Extensions -- , 7. Avoiding Model Errors -- , 8. Empirical Hedge Performance -- , 9. Summary and Outlook -- , A. General Existence Theorem -- , B. Source Code -- , Backmatter , In English.
    Additional Edition: ISBN 978-3-11-020468-1
    Language: English
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