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  • Search: isPartOf:"Radon series on computational and applied mathematics"
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Year of publication
Subject
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Optimierung 2 Barrier options 1 Finanzmathematik 1 Hedging 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Robust statistics 1 Robustes Verfahren 1 Stochastische Differentialgleichung 1 Volatilität 1
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Type of publication
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Book / Working Paper 2
Language
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English 2
Author
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Albrecher, Hansjörg 1 Maruhn, Jan H. 1
Published in...
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Radon series on computational and applied mathematics 2 Radon Series on Computational and Applied Mathematics Ser 1
Source
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ECONIS (ZBW) 1 USB Cologne (EcoSocSci) 1
Showing 1 - 2 of 2
Cover Image
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...
Persistent link: https://www.econbiz.de/10012684949
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Cover Image
Advanced financial modelling : [international workshop]
Albrecher, Hansjörg (contributor) - 2009
Persistent link: https://www.econbiz.de/10008837055
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