Robust Static Super-Replication of Barrier Options

Jan H. Maruhn (Autor)

Media-Kombination

XII, 197 Seiten | Ausstattung: Hardcover & eBook

2009
De Gruyter
9783119165853 (ISBN)

Infos

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 in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

Autor

Jan H. Maruhn, UniCredit Markets & Investment Banking, Munich, Germany.

Produkt-Details

• Reihe/Serie: Radon Series on Computational and Applied Mathematics ; 7
• Zusatzinfo: Includes a print version and an ebook
• Verlagsort: Berlin/Boston
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Allgemeines / Lexika
• Themenwelt: Mathematik / Informatik ► Mathematik ► Analysis
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Schlagworte: Barrier Options • Finanzmathematik • Optimierung • robust optimization • Semidefinite Programming. • Semi-infinite optimization • Static Hedging • Static Hedging; Barrier Options; Robust Optimization; Stochastic Volatility; Semi-infinite Optimization; Semidefinite Programming. • Stochastic volatility • Volatilität
• ISBN-13: 9783119165853 / 9783119165853
• Zustand: Neuware