Last edited by Fezil
Wednesday, July 29, 2020 | History

4 edition of Robust static super-replication of barrier options found in the catalog.

Robust static super-replication of barrier options

Jan H. Maruhn

Robust static super-replication of barrier options

by Jan H. Maruhn

  • 117 Want to read
  • 4 Currently reading

Published by Walter de Gruyter in Berlin, New York .
Written in English

    Subjects:
  • Options (Finance),
  • Barrier options,
  • Hedging,
  • Volatilität,
  • Hedging (Finance),
  • Mathematical models,
  • Optimierung

  • Edition Notes

    StatementJan H. Maruhn
    SeriesRadon series on computational and applied mathematics -- 7, Radon series on computational and applied mathematics -- 7.
    ContributionsRadon Institute for Computational and Applied Mathematics
    Classifications
    LC ClassificationsHG6024.A3 M375 2009
    The Physical Object
    Paginationxii, 197 p. :
    Number of Pages197
    ID Numbers
    Open LibraryOL25211440M
    ISBN 103110204681
    ISBN 109783110204681
    LC Control Number2011276290
    OCLC/WorldCa317453318

    We consider robust pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underlying process (typically continuity), but assume that the initial prices of call options with the same maturity and all strikes are known. In such circumstances, we are able to give upper and lower bounds on . Another application of our results provides a concrete improvement of the model-independent super-replication and sub-replication strategies for barrier options proposed in [H. Brown, D. Hobson & L. C. G. Rogers () Robust hedging of barrier options, Mathematical Finance11 (3), –], which exploits the given beliefs on the implied.

    In addition to these static option positions, the stock is also traded dynamically. Robust hedging refers to super-replication ofan option for all possible stock price barrier options in [5] and [7, 8], lookback options in [12], [13] and [14], and volatility options in [9]. The main technique that is employed in these papers is the. Cost-optimal static super-replication of barrier options: An optimisation approach, Robust hedging of the lookback option, (). Robust pricing and hedging of double no-touch options, Finance Stoch., (). Static hedging of barrier options under general asset dynamics: Unification and application.

    • Robust static super-replication of barrier options • Calibration of stochastic volatility models Project partners: November 17th, Slide 3 Robust Static Hedging of Barrier Options A bank sells a claim with payoff C¸0 at time T. Today: t=0 Future: t=T Price of C . 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 Title: Senior Financial Engineer at .


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Robust static super-replication of barrier options by Jan H. Maruhn Download PDF EPUB FB2

Aims and Scope 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.

Free shipping for non-business customers when ordering books at De Gruyter Online. Please find details to our shipping fees here. RRP: Recommended Retail Price. Robust Static Super-Replication of Barrier Options. Series: Free shipping for non-business customers when ordering books at De Gruyter Online.

Please find Content; Book Book Series. Next chapter. Maruhn, Jan H. 30,00 € / $ / £ Get Access to Full Text. Citation Information. Robust Static Super-Replication of Barrier Options. Robust Static Super-Re My Searches (0) My Cart Added To Cart Check Out.

Menu. Subjects. Robust Static Super-Replication of Barrier Options. Series:Radon Series on Computational and Applied Mathematics 7. Book Book Series. Robust static super-replication of barrier options book Get Access to Full Text. Contents.

Robust Static Super-Replication of Barrier Options. Series: Free shipping for non-business customers when ordering books at De Gruyter Online. Please find details to Get Access to Full Text. Citation Information.

Robust Static Super-Replication of Barrier Options. Walter de Gruyter. Pages: – ISBN (Online): Maruhn J.H., Sachs E.W. () Robust Static Super-Replication of Barrier Options in the Black-Scholes model. In: Kurdila A.J., Pardalos P.M., Zabarankin M.

(eds) Robust Optimization-Directed Design. Nonconvex Optimization and Its Applications, vol Cited by: 6. Robust Static Super-Replication of Barrier Options in the Black-Scholes model. Jan H. Maruhn, Ekkehard W. Sachs. The contributions to this book explore these different strategies. The expression "optimization-directed” in this book’s title is meant to suggest that the focus is not agonizing over whether optimization strategies identify.

robustness of the static super-replicating portfolio is also empirically confirmed in practice such that the hedge sets an upper bound for the price of skew risk for barrier options. 1 Introduction Reverse barrier options are barrier options. The static hedging of barrier options was studied by Carr and Chou (), Nalholm and Poulsen () and Poulsen ().

Although the static hedging is robust, it. Cost-optimal static super-replication of barrier options: an optimization approach The contributions to this book explore these different strategies. Robust Static Super-Replication of.

Robust static super-replication of barrier options. [Jan H Maruhn; Radon Institute for Computational and Applied Mathematics.] Presents hedging strategies for a class of financial options. This book places emphasis on theoretical and numerical aspects. 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. Static hedge portfolios for barrier options are extremely sensitive with respect to changes of the volatility surface.

In this paper we develop a semi-infinite programming formulation of the static super-replication problem in stochastic volatility models which allows to robustify the hedge against model parameter uncertainty in the sense of a worst case design. Robust Static Super-Replication of Barrier Options 1st Edition by Jan H.

Maruhn and Publisher De Gruyter. Save up to 80% by choosing the eTextbook option for ISBN:The print version of this textbook is. Exact static hedging results for barrier options are usually based on unrealistic assumptions such as the availability of an infinite number of standard options or zero cost of carry.

Static replication of barrier options: some general results Volume 5/Number 4, Summer 3 Article 1 27/6/02 pm Page 3. breach the barrier in [0,t], then F(t)=G(t;0); this relation obviously only holds up to the first time S hits the barrier.

Static replication attempts to address this problem by creating replicating strategies that only trade rarely. In this thesis, we will study the static replication of exotic options by plain vanilla options. In particular, we will examine barrier options, variants of barrier options, and lookback options.

Robust design—that is, managing design uncertainties such as model uncertainty or parametric uncertainty—is the often unpleasant issue crucial in much multidisciplinary optimal design work. Recently, there has been enormous practical interest in.

static replication of barrier options in the Black-Scholes () model. For martingale stock processes, Brownet al () demonstrate how to set up model-free over- and underhedges for certain simple classes of single-barrier options.

The approach in this paper differs from previous literature in a number of ways. Robust Hedging of Double No-Touch Barrier Options Article (PDF Available) in SIAM Journal on Financial Mathematics 2(1) January with Reads How we measure 'reads'.

Peter Carr & Katrina Ellis & Vishal Gupta, "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pagesC.

Merton, "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages .Robust static super-replication of barrier options By Jan H Maruhn Topics: Mathematical Physics and Mathematics.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.