Robust static super-replication of barrier options:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin
W. de Gruyter
©2009
|
| Schriftenreihe: | Radon series on computational and applied mathematics
7 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | "RICAM, Johann Radon Institute for Computational and Applied Mathematics"--Cover Includes bibliographical references and index 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 |
| Beschreibung: | 1 Online-Ressource (xii, 197 pages) |
| ISBN: | 9783110208511 3110208512 1282296469 9781282296466 9783110204681 3110204681 |
Internformat
MARC
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| 245 | 1 | 0 | |a Robust static super-replication of barrier options |c Jan H. Maruhn |
| 264 | 1 | |a Berlin |b W. de Gruyter |c ©2009 | |
| 300 | |a 1 Online-Ressource (xii, 197 pages) | ||
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| 500 | |a "RICAM, Johann Radon Institute for Computational and Applied Mathematics"--Cover | ||
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a 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 | ||
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Datensatz im Suchindex
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| author | Maruhn, Jan H. |
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| author_sort | Maruhn, Jan H. |
| author_variant | j h m jh jhm |
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| bvnumber | BV042967914 |
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| dewey-full | 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 |
| dewey-search | 332.64/5 |
| dewey-sort | 3332.64 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Maruhn, Jan H. Verfasser aut Robust static super-replication of barrier options Jan H. Maruhn Berlin W. de Gruyter ©2009 1 Online-Ressource (xii, 197 pages) txt rdacontent c rdamedia cr rdacarrier Radon series on computational and applied mathematics 7 "RICAM, Johann Radon Institute for Computational and Applied Mathematics"--Cover Includes bibliographical references and index 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 BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Hedging (Finance) / Mathematical models fast Options (Finance) / Mathematical models fast Mathematisches Modell Wirtschaft Options (Finance) Mathematical models Hedging (Finance) Mathematical models Barrier options (DE-588)4838543-8 gnd rswk-swf Optimierung (DE-588)4043664-0 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf 1\p (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 2\p DE-604 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=293684 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Maruhn, Jan H. Robust static super-replication of barrier options BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Hedging (Finance) / Mathematical models fast Options (Finance) / Mathematical models fast Mathematisches Modell Wirtschaft Options (Finance) Mathematical models Hedging (Finance) Mathematical models Barrier options (DE-588)4838543-8 gnd Optimierung (DE-588)4043664-0 gnd Hedging (DE-588)4123357-8 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4838543-8 (DE-588)4043664-0 (DE-588)4123357-8 (DE-588)4268390-7 (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 | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Hedging (Finance) / Mathematical models fast Options (Finance) / Mathematical models fast Mathematisches Modell Wirtschaft Options (Finance) Mathematical models Hedging (Finance) Mathematical models Barrier options (DE-588)4838543-8 gnd Optimierung (DE-588)4043664-0 gnd Hedging (DE-588)4123357-8 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General Hedging (Finance) / Mathematical models Options (Finance) / Mathematical models Mathematisches Modell Wirtschaft Options (Finance) Mathematical models Hedging (Finance) Mathematical models Barrier options Optimierung Hedging Volatilität Hochschulschrift |
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