Robust static super-replication of barrier options /:
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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; New York :
W. de Gruyter,
©2009.
|
| Schriftenreihe: | Radon series on computational and applied mathematics ;
7. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 resource (xii, 197 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9783110208511 3110208512 1282296469 9781282296466 |
| ISSN: | 1865-3707 ; |
Internformat
MARC
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| 245 | 1 | 0 | |a Robust static super-replication of barrier options / |c Jan H. Maruhn. |
| 260 | |a Berlin ; |a New York : |b W. de Gruyter, |c ©2009. | ||
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| 490 | 1 | |a Radon series on computational and applied mathematics, |x 1865-3707 ; |v 7 | |
| 504 | |a Includes bibliographical references and index. | ||
| 520 | |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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | 0 | |t Frontmatter -- |t Contents -- |t 1. Theoretical Background -- |t 2. Static Hedging of Barrier Options -- |t 3. An Optimization Approach to Static Super-Replication -- |t 4. Reformulation as a Semi-Infinite Problem -- |t 5. Eliminating Model Parameter Uncertainty -- |t 6. Modifications and Extensions -- |t 7. Avoiding Model Errors -- |t 8. Empirical Hedge Performance -- |t 9. Summary and Outlook -- |t A. General Existence Theorem -- |t B. Source Code -- |t Backmatter. |
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Hedging (Finance) |x Mathematical models. | |
| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Couverture (Finances) |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Hedging (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Options (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Hedging |2 gnd |0 http://d-nb.info/gnd/4123357-8 | |
| 650 | 7 | |a Volatilität |2 gnd |0 http://d-nb.info/gnd/4268390-7 | |
| 650 | 7 | |a Optimierung |2 gnd |0 http://d-nb.info/gnd/4043664-0 | |
| 650 | 7 | |a Barrier options |2 gnd |0 http://d-nb.info/gnd/4838543-8 | |
| 758 | |i has work: |a Robust static super-replication of barrier options (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGfb7vmmmfXhbG8GqJydjP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Maruhn, Jan H. |t Robust static super-replication of barrier options. |d Berlin ; New York : W. de Gruyter, ©2009 |z 9783110204681 |
| 830 | 0 | |a Radon series on computational and applied mathematics ; |v 7. |0 http://id.loc.gov/authorities/names/no2008036485 | |
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Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBU-ocn456907359 |
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| _version_ | 1816796898249408512 |
| adam_text | |
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| author | Maruhn, Jan H. |
| author_GND | http://id.loc.gov/authorities/names/no2009197734 |
| author_facet | Maruhn, Jan H. |
| author_role | |
| author_sort | Maruhn, Jan H. |
| author_variant | j h m jh jhm |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 M37 2009eb |
| callnumber-search | HG6024.A3 M37 2009eb |
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| callnumber-subject | HG - Finance |
| classification_rvk | SK 870 |
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| contents | 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. |
| ctrlnum | (OCoLC)456907359 |
| 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 | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn456907359 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:48:59Z |
| institution | BVB |
| isbn | 9783110208511 3110208512 1282296469 9781282296466 |
| issn | 1865-3707 ; |
| language | English |
| oclc_num | 456907359 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xii, 197 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | W. de Gruyter, |
| record_format | marc |
| series | Radon series on computational and applied mathematics ; |
| series2 | Radon series on computational and applied mathematics, |
| spelling | Maruhn, Jan H. https://id.oclc.org/worldcat/entity/E39PCjtTGMt8j3XrBCCGmVMpj3 http://id.loc.gov/authorities/names/no2009197734 Robust static super-replication of barrier options / Jan H. Maruhn. Berlin ; New York : W. de Gruyter, ©2009. 1 online resource (xii, 197 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 Radon series on computational and applied mathematics, 1865-3707 ; 7 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. Print version record. 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. Options (Finance) Mathematical models. Hedging (Finance) Mathematical models. Options (Finances) Modèles mathématiques. Couverture (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Hedging (Finance) Mathematical models fast Options (Finance) Mathematical models fast Hedging gnd http://d-nb.info/gnd/4123357-8 Volatilität gnd http://d-nb.info/gnd/4268390-7 Optimierung gnd http://d-nb.info/gnd/4043664-0 Barrier options gnd http://d-nb.info/gnd/4838543-8 has work: Robust static super-replication of barrier options (Text) https://id.oclc.org/worldcat/entity/E39PCGfb7vmmmfXhbG8GqJydjP https://id.oclc.org/worldcat/ontology/hasWork Print version: Maruhn, Jan H. Robust static super-replication of barrier options. Berlin ; New York : W. de Gruyter, ©2009 9783110204681 Radon series on computational and applied mathematics ; 7. http://id.loc.gov/authorities/names/no2008036485 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=293684 Volltext |
| spellingShingle | Maruhn, Jan H. Robust static super-replication of barrier options / Radon series on computational and applied mathematics ; 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. Options (Finance) Mathematical models. Hedging (Finance) Mathematical models. Options (Finances) Modèles mathématiques. Couverture (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Hedging (Finance) Mathematical models fast Options (Finance) Mathematical models fast Hedging gnd http://d-nb.info/gnd/4123357-8 Volatilität gnd http://d-nb.info/gnd/4268390-7 Optimierung gnd http://d-nb.info/gnd/4043664-0 Barrier options gnd http://d-nb.info/gnd/4838543-8 |
| subject_GND | http://d-nb.info/gnd/4123357-8 http://d-nb.info/gnd/4268390-7 http://d-nb.info/gnd/4043664-0 http://d-nb.info/gnd/4838543-8 |
| title | Robust static super-replication of barrier options / |
| title_alt | 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. |
| 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 | Options (Finance) Mathematical models. Hedging (Finance) Mathematical models. Options (Finances) Modèles mathématiques. Couverture (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Hedging (Finance) Mathematical models fast Options (Finance) Mathematical models fast Hedging gnd http://d-nb.info/gnd/4123357-8 Volatilität gnd http://d-nb.info/gnd/4268390-7 Optimierung gnd http://d-nb.info/gnd/4043664-0 Barrier options gnd http://d-nb.info/gnd/4838543-8 |
| topic_facet | Options (Finance) Mathematical models. Hedging (Finance) Mathematical models. Options (Finances) Modèles mathématiques. Couverture (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. Hedging (Finance) Mathematical models Options (Finance) Mathematical models Hedging Volatilität Optimierung Barrier options |
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| work_keys_str_mv | AT maruhnjanh robuststaticsuperreplicationofbarrieroptions |