Robust Static Super-replication of Barrier Options (Radon Series on Computational and Applied Mathematics): 7 - Image 1

£104.99

De Gruyter Robust Static Super-replication of Barrier Options (Radon Series on Computational and Applied Mathematics): 7

Name: Robust Static Super-replication of Barrier Options (Radon Series on Computational and Applied Mathematics): 7
Brand: De Gruyter
Price: 104.98 GBP
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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.

Product Specifications

Brand: De Gruyter
Format: hardcover
ASIN: 3110204681
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 01 May 2009
Listed Since: 08 April 2009

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De Gruyter Robust Static Super-replication of Barrier Options (Radon Series on Computational and Applied Mathematics): 7

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