03786nam 2200745Ia 450 991077859870332120230721022515.01-282-29646-997866122964683-11-916585-93-11-020851-210.1515/9783110208511(CKB)1000000000789574(EBL)453919(OCoLC)456907359(SSID)ssj0000342500(PQKBManifestationID)11252498(PQKBTitleCode)TC0000342500(PQKBWorkID)10284950(PQKB)11304233(MiAaPQ)EBC453919(DE-B1597)34910(OCoLC)719448717(DE-B1597)9783110208511(Au-PeEL)EBL453919(CaPaEBR)ebr10329812(CaONFJC)MIL229646(EXLCZ)99100000000078957420090312d2009 uy 0engur|||||||||||txtccrRobust static super-replication of barrier options[electronic resource] /Jan H. MaruhnBerlin ;New York Walter de Gruyterc20091 online resource (209 p.)Radon series on computational and applied mathematics,1865-3707 ;7"RICAM, Johann Radon Institute for Computational and Applied Mathematics".3-11-020468-1 Includes bibliographical references (p. [187]-191) and index. 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 -- BackmatterStatic 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 hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming. Radon series on computational and applied mathematics ;7.Options (Finance)Mathematical modelsHedging (Finance)Mathematical modelsBarrier Options.Robust Optimization.Semi-infinite Optimization.Semidefinite Programming.Static Hedging.Stochastic Volatility.Options (Finance)Mathematical models.Hedging (Finance)Mathematical models.332.6322830151962SK 870rvkMaruhn Jan H1534788Radon Institute for Computational and Applied Mathematics.MiAaPQMiAaPQMiAaPQBOOK9910778598703321Robust static super-replication of barrier options3782597UNINA