Robust Static Super-Replication of Barrier Options - Jan H. Maruhn

Robust Static Super-Replication of Barrier Options

By Jan H. Maruhn

  • Release Date - Published: 2009-07-14
  • Book Genre: Mathematics
  • Author: Jan H. Maruhn
Our rating: 5/5 stars

Score: (From 0 Ratings)

Robust Static Super-Replication of Barrier Options Jan H. Maruhn read online review & book 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.

Robust Static Super-Replication of Barrier Options book review Robust Static Super-Replication of Barrier Options ePUB; Jan H. Maruhn; Mathematics books.

Post a review about this book