Robust Static Super-replication of Barrier Options

Robust Static Super-replication of Barrier Options

eBook - 2009
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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.
Publisher: Berlin ; New York : W. de Gruyter, ©2009
ISBN: 9781282296466
1282296469
9783110208511
3110208512
3110204681
9783110204681
Characteristics: 1 online resource (xii, 197 pages) : illustrations

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