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 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.
209 pages; ISBN 9783110208511
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Title: Robust Static Super-Replication of Barrier Options
Author: Jan H. Maruhn
IB Mathematical Studies Standard 2012 US$ 58.40 624 pages
IB Mathematics Standard Level 2012 US$ 64.80 805 pages