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Year of publication
Subject
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Barrier options 1 Hedging 1 Optimierung 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Robust statistics 1 Robustes Verfahren 1 Volatilität 1
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Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Maruhn, Jan H. 1
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Radon Series on Computational and Applied Mathematics Ser 1 Radon series on computational and applied mathematics 1
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ECONIS (ZBW) 1
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Robust Static Super-Replication of Barrier Options.
Maruhn, Jan H. - 2009
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...
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