Format:
Online-Ressource
Edition:
De Gruyter reference global Online-Ausg
ISBN:
9783110208511
Series Statement:
Radon Series on Computational and Applied Mathematics 7
Content:
Main 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. 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.
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.
Content:
Review text: "I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see that he is making a fully guided tour available as a book. For decades many papers have been contributed to this core problem by many authors. Many of the suggestions worked well on a piece of paper, none of them ever worked in practice. Jan's book is the Odyssey of the barrier hedging problem, that ends with a case study on how his solution works and performs in real markets. Anybody researching in or trading barrier options should read this book and pick up the entire numerical toolbox on the way." Uwe Wystup, CEO MathFinance AG
Note:
Zugl.: Trier, Univ., Diss., 2007
,
Online-Ausg.
Additional Edition:
ISBN 9783110208511
Additional Edition:
Erscheint auch als Druck-Ausgabe ISBN 978-3-11-020851-1
Language:
English
Subjects:
Mathematics
Keywords:
Barrier options
;
Volatilität
;
Hedging
;
Optimierung
DOI:
10.1515/9783110208511
URL:
Volltext
(lizenzpflichtig)
Author information:
Maruhn, Jan H.
