Robust static super-replication of barrier options / Jan H. Maruhn.
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 wel...
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| Online Access: |
Full Text (via ProQuest) |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; New York :
W. de Gruyter,
©2009.
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| Series: | Radon series on computational and applied mathematics ;
7. |
| Subjects: |
Internet
Full Text (via ProQuest)Online
| Call Number: |
HG6024.A3 M37 2009eb
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| HG6024.A3 M37 2009eb | Available |