Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics
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Published By Walter De Gruyter

9783110208511

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Contents

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.toc ◽

2009 ◽

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2. Static Hedging of Barrier Options

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.15 ◽

2009 ◽

Keyword(s):

Barrier Options ◽

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8. Empirical Hedge Performance

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.144 ◽

2009 ◽

Keyword(s):

Hedge Performance

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B. Source Code

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.172 ◽

2009 ◽

Keyword(s):

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7. Avoiding Model Errors

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.123 ◽

2009 ◽

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5. Eliminating Model Parameter Uncertainty

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.70 ◽

2009 ◽

Keyword(s):

Parameter Uncertainty ◽

Model Parameter ◽

Model Parameter Uncertainty

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Backmatter

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.bm ◽

2009 ◽

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3. An Optimization Approach to Static Super-Replication

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.32 ◽

2009 ◽

Keyword(s):

Optimization Approach

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A. General Existence Theorem

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.167 ◽

2009 ◽

Keyword(s):

Existence Theorem ◽

General Existence

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9. Summary and Outlook

Robust Static Super-Replication of Barrier Options - Radon Series on Computational and Applied Mathematics ◽

10.1515/9783110208511.163 ◽

2009 ◽

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