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Robust Static Super-Replication of Barrier Options von Maruhn, Jan H. (eBook)

  • Erscheinungsdatum: 14.07.2009
  • Verlag: Walter de Gruyter GmbH & Co.KG
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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.
Jan H. Maruhn , UniCredit Markets & Investment Banking, Munich, Germany.

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