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...
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| Online Access: | Electronic book from EBSCO |
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| Main Author: | |
| Format: | eBook |
| Language: | English |
| Published: | Berlin ; New York : W. de Gruyter, ©2009. |
| Series: | Radon series on computational and applied mathematics ;
7. |
| Subjects: |