{"product_id":"robust-static-super-replication-of-barrier-jan-h-maruhn-9783110204681","title":"Robust Static Super-Replication of Barrier Options","description":"\u003cp\u003eStatic 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 in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Jan H. Maruhn\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3110204681\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783110204681\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e de Gruyter\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 07\/15\/2009\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 209\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.19lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.61h x 6.69w x 0.50d\u003cbr\u003e\u003cbr\u003e\u003cb\u003eReview Citation(s): \u003c\/b\u003e\u003cbr\u003e\u003ci\u003eScitech Book News\u003c\/i\u003e 12\/01\/2009 pg. 9","brand":"Jan H. Maruhn","offers":[{"title":"Hardcover","offer_id":44125942186239,"sku":"9783110204681","price":260.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_cb4e70fb-6526-4552-bbb8-6b549c045f38.jpg?v=1687445431","url":"https:\/\/www.whiterainbookhouse.com\/products\/robust-static-super-replication-of-barrier-jan-h-maruhn-9783110204681","provider":"WR Book House","version":"1.0","type":"link"}