Jan H. Maruhn – författare
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2 produkter
Robust Static Super-Replication of Barrier Options
Inbunden, 2009
2492 kr
Lägg i varukorg
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 …
Robust Static Super-Replication of Barrier Options
E-bok, 2009
2517 kr
Lägg i varukorg
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 …
