Verfügbarkeit: Robust static super-replication of barrier options

Robust static super-replication of barrier options:

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Bibliographische Detailangaben
1. Verfasser:	Maruhn, Jan H. (VerfasserIn)
Format:	Abschlussarbeit Buch
Sprache:	English
Veröffentlicht:	Berlin [u.a.] de Gruyter 2009
Schriftenreihe:	Radon series on computational and applied mathematics 7
Schlagworte:	Barrier options Volatilität Optimierung Hedging Hochschulschrift
Online-Zugang:	Inhaltstext Inhaltsverzeichnis
Beschreibung:	XII, 197 S. graph. Darst.
ISBN:	9783110204681

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MARC


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Datensatz im Suchindex

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adam_text	IMAGE 1 CONTENTS PREFACE VII 1 THEORETICAL BACKGROUND 1 1.1 PROBABILITY THEORY AND STOCHASTIC DIFFERENTIAL EQUATIONS 1 1.2 FUNDAMENTALS OF MATHEMATICAL FINANCE 4 1.3 OPTIMIZATION BASICS 9 2 STATIC HEDGING OF BARRIER OPTIONS 15 2.1 MOTIVATION 15 2.2 SEMI-STATIC HEDGING STRATEGIES 16 2.3 REVIEW OF THE STATIC HEDGING LITERATURE 18 2.3.1 STRIKE SPREAD HEDGE 18 2.3.2 CALENDAR SPREAD HEDGE AND EXTENSIONS 20 2.3.3 THE STATIC MEAN SQUARE HEDGE 23 2.3.4 MODEL-INDEPENDENT SUPER-HEDGES 24 2.4 TOWARDS A PRACTICAL STATIC SUPERHEDGE 26 3 AN OPTIMIZATION APPROACH TO STATIC SUPER-REPLICATION 32 3.1 COST-OPTIMAL STATIC SUPER-REPLICATION 32 3.2 NUMERICAL IMPLEMENTATION 35 3.3 RESULTS AND COMPARISON TO OTHER HEDGING APPROACHES 38 3.3.1 STATIC HEDGING IN THE BLACK-SCHOLES MODEL 38 3.3.2 STATIC HEDGING IN HESTON'S STOCHASTIC VOLATILITY MODEL . . . 43 4 REFORMULATION AS A SEMI-INFINITE PROBLEM 50 4.1 SEMI-INFINITE EQUIVALENCE 50 4.2 THE DUAL PROBLEM 59 5 ELIMINATING MODEL PARAMETER UNCERTAINTY 70 5.1 ROBUST STATIC HEDGING IN THE BLACK-SCHOLES MODEL 72 5.1.1 DESCRIPTION OF THE ROBUST PROBLEM 72 5.1.2 NUMERICAL SOLUTION 75 5.1.3 AN EXAMPLE OF A HEDGE PORTFOLIO 78 5.2 ROBUST STATIC HEDGING IN STOCHASTIC VOLATILITY MODELS 85 5.2.1 DEFINITION OF THE ROBUST PROBLEM 86 5.2.2 SOLVING THE PROBLEM 90 5.2.3 A DETAILED EXAMPLE 93 BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/993130674 DIGITALISIERT DURCH IMAGE 2 XII CONTENTS 6 MODIFICATIONS AND EXTENSIONS 103 6.1 SUB-REPLICATION AND ROBUST STATIC BOUNDS 103 6.2 ROBUSTIFICATION AGAINST JUMPS 107 6.3 EXTENSION TO OTHER BARRIER OPTIONS 115 7 AVOIDING MODEL ERRORS 123 7.1 ROBUSTIFICATION AND NUMERICAL SOLUTION 124 7.2 EQUIVALENT SDP-NSDP FORMULATION 130 7.3 NUMERICAL RESULTS 138 8 EMPIRICAL HEDGE PERFORMANCE 144 8.1 DESCRIPTION OF THE DATASET 145 8.2 SETTING UP THE ROBUST STATIC HEDGE 148 8.2.1 STEP-WISE ROBUSTIFICATION 149 8.2.2 SENSITIVITY ANALYSIS WITH RESPECT TO INITIAL COST 152 8.3 OTHER HEDGING APPROACHES USED IN THE STUDY 154 8.4 EXPERIMENTAL DESIGN 155 8.5 EMPIRICAL RESULTS 156 9 SUMMARY AND OUTLOOK 163 A GENERAL EXISTENCE THEOREM 167 B SOURCE CODE 172 LIST OF FIGURES 181 LIST OF TABLES 184 LIST OF ALGORITHMS 186 LIST OF CODE LISTINGS 186 BIBLIOGRAPHY 187 SYMBOLS AND ABBREVIATIONS 192 INDEX 195
any_adam_object	1
author	Maruhn, Jan H.
author_GND	(DE-588)138746524
author_facet	Maruhn, Jan H.
author_role	aut
author_sort	Maruhn, Jan H.
author_variant	j h m jh jhm
building	Verbundindex
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ctrlnum	(OCoLC)434511639 (DE-599)BVBBV025565176
dewey-full	332.6322830151962
dewey-hundreds	300 - Social sciences
dewey-ones	332 - Financial economics
dewey-raw	332.6322830151962
dewey-search	332.6322830151962
dewey-sort	3332.6322830151962
dewey-tens	330 - Economics
discipline	Mathematik Wirtschaftswissenschaften
format	Thesis Book
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spelling	Maruhn, Jan H. Verfasser (DE-588)138746524 aut Robust static super-replication of barrier options Jan H. Maruhn Berlin [u.a.] de Gruyter 2009 XII, 197 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Radon series on computational and applied mathematics 7 Zugl.: Trier, Univ., Diss., 2007 Barrier options (DE-588)4838543-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Optimierung (DE-588)4043664-0 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Barrier options (DE-588)4838543-8 s Volatilität (DE-588)4268390-7 s Hedging (DE-588)4123357-8 s Optimierung (DE-588)4043664-0 s DE-604 Radon series on computational and applied mathematics 7 (DE-604)BV023335470 7 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3257570&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020164165&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Maruhn, Jan H. Robust static super-replication of barrier options Radon series on computational and applied mathematics Barrier options (DE-588)4838543-8 gnd Volatilität (DE-588)4268390-7 gnd Optimierung (DE-588)4043664-0 gnd Hedging (DE-588)4123357-8 gnd
subject_GND	(DE-588)4838543-8 (DE-588)4268390-7 (DE-588)4043664-0 (DE-588)4123357-8 (DE-588)4113937-9
title	Robust static super-replication of barrier options
title_auth	Robust static super-replication of barrier options
title_exact_search	Robust static super-replication of barrier options
title_full	Robust static super-replication of barrier options Jan H. Maruhn
title_fullStr	Robust static super-replication of barrier options Jan H. Maruhn
title_full_unstemmed	Robust static super-replication of barrier options Jan H. Maruhn
title_short	Robust static super-replication of barrier options
title_sort	robust static super replication of barrier options
topic	Barrier options (DE-588)4838543-8 gnd Volatilität (DE-588)4268390-7 gnd Optimierung (DE-588)4043664-0 gnd Hedging (DE-588)4123357-8 gnd
topic_facet	Barrier options Volatilität Optimierung Hedging Hochschulschrift
url	http://deposit.dnb.de/cgi-bin/dokserv?id=3257570&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020164165&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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work_keys_str_mv	AT maruhnjanh robuststaticsuperreplicationofbarrieroptions

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