Robust Static Super-Replication of Barrier Options

Name: Robust Static Super-Replication of Barrier Options
Brand: de Gruyter
SKU: 9783110204681
Price: 5011.00 INR
Availability: InStock

by Jan H. Maruhn

de Gruyter

₹5,011

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From the publisher

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.

Description supplied by the publisher.