5. Eliminating Model Parameter Uncertainty

Kapitel in diesem Buch

1. Frontmatter i
2. Contents xi
3. 1. Theoretical Background 1
4. 2. Static Hedging of Barrier Options 15
5. 3. An Optimization Approach to Static Super-Replication 32
6. 4. Reformulation as a Semi-Infinite Problem 50
7. 5. Eliminating Model Parameter Uncertainty 70
8. 6. Modifications and Extensions 103
9. 7. Avoiding Model Errors 123
10. 8. Empirical Hedge Performance 144
11. 9. Summary and Outlook 163
12. A. General Existence Theorem 167
13. B. Source Code 172
14. Backmatter 181