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Record Nr. |
UNINA9910455554403321 |
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Autore |
Maruhn Jan H |
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Titolo |
Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn |
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Pubbl/distr/stampa |
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Berlin ; ; New York, : Walter de Gruyter, c2009 |
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ISBN |
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1-282-29646-9 |
9786612296468 |
3-11-916585-9 |
3-11-020851-2 |
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Descrizione fisica |
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1 online resource (209 p.) |
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Collana |
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Radon series on computational and applied mathematics, , 1865-3707 ; ; 7 |
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Classificazione |
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Disciplina |
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Soggetti |
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Options (Finance) - Mathematical models |
Hedging (Finance) - Mathematical models |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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"RICAM, Johann Radon Institute for Computational and Applied Mathematics". |
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Nota di bibliografia |
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Includes bibliographical references (p. [187]-191) and index. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 |
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