UID:
edocfu_9958353744702883
Umfang:
1 online resource (209p.):
,
Figs. and tabs.
ISBN:
9783110208511
Serie:
Radon Series on Computational and Applied Mathematics ; 7
Inhalt:
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.
Anmerkung:
Frontmatter --
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Contents --
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1. Theoretical Background --
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2. Static Hedging of Barrier Options --
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3. An Optimization Approach to Static Super-Replication --
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4. Reformulation as a Semi-Infinite Problem --
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5. Eliminating Model Parameter Uncertainty --
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6. Modifications and Extensions --
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7. Avoiding Model Errors --
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8. Empirical Hedge Performance --
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9. Summary and Outlook --
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A. General Existence Theorem --
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B. Source Code --
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Backmatter
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In English.
Weitere Ausg.:
ISBN 978-3-11-020468-1
Sprache:
Englisch
DOI:
10.1515/9783110208511
URL:
https://doi.org/10.1515/9783110208511
