Compartir
Robust Static Super-Replication of Barrier Options
Jan H. Maruhn (Autor)
·
De Gruyter
· Tapa Dura
Robust Static Super-Replication of Barrier Options - Jan H. Maruhn
Sin Stock
Te enviaremos un correo cuando el libro vuelva a estar disponible
Reseña del libro "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.
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
Todos los libros de nuestro catálogo son Originales.
El libro está escrito en Inglés.
La encuadernación de esta edición es Tapa Dura.
✓ Producto agregado correctamente al carro, Ir a Pagar.
