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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| Format: | Book |
| Language: | English |
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Berlin ; Boston :
De Gruyter,
[2009]
Berlin ; Boston : [2009] |
| Series: | Radon series on computational and applied mathematics ;
7 |
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Internet
This item is not available through BorrowDirect. Please contact your institution’s interlibrary loan office for further assistance.Stanford University
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INTERNET RESOURCE |
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