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Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging los
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Type: BOOK - Published: 2016-04-29 - Publisher: Springer
Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry.
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Language: en
Pages: 405
Pages: 405
Type: BOOK - Published: 2010-03-30 - Publisher: John Wiley & Sons
The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-