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Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn



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Autore: Maruhn Jan H Visualizza persona
Titolo: Robust static super-replication of barrier options [[electronic resource] /] / Jan H. Maruhn Visualizza cluster
Pubblicazione: Berlin ; ; New York, : Walter de Gruyter, c2009
Descrizione fisica: 1 online resource (209 p.)
Disciplina: 332.6322830151962
Soggetto topico: Options (Finance) - Mathematical models
Hedging (Finance) - Mathematical models
Soggetto genere / forma: Electronic books.
Classificazione: SK 870
Note generali: "RICAM, Johann Radon Institute for Computational and Applied Mathematics".
Nota di bibliografia: Includes bibliographical references (p. [187]-191) and index.
Nota di contenuto: 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
Sommario/riassunto: 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 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.
Titolo autorizzato: Robust static super-replication of barrier options  Visualizza cluster
ISBN: 1-282-29646-9
9786612296468
3-11-916585-9
3-11-020851-2
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910455554403321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: Radon series on computational and applied mathematics ; ; 7.