Maruhn, Jan H.
Robust Static Super-Replication of Barrier Options
2009 | Hardcover | RRP Euro [D] 89.95 / for USA, Canada, Mexico US$ 126.00.
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ISBN 978-3-11-020468-1
Series: Radon Series on Computational and Applied Mathematics 7
Series: Radon Series on Computational and Applied Mathematics 7
Also available as an eBook
Reviews
"I always felt that Jan Maruhn would be the only person on the globe who knows how to statically hedge barrier options. Now I am even more pleased to see that he is making a fully guided tour available as a book. For decades many papers have been contributed to this core problem by many authors. Many of the suggestions worked well on a piece of paper, none of them ever worked in practice. Jan's book is the Odyssey of the barrier hedging problem, that ends with a case study on how his solution works and performs in real markets. Anybody researching in or trading barrier options should read this book and pick up the entire numerical toolbox on the way."
Uwe Wystup, CEO MathFinance AG
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