Superreplication of European multiasset derivatives with bounded stochastic volatility (Q1397041)

The main purpose of this paper is to analyze the superreplication approach in stochastic volatility models for European multiasset derivatives, including also cases when the value function is nonsmooth. The authors show that if the final payoff is convex and the price process has marginal laws absolutely continuous with respect to the \(n\)-dimensional Lebesgue measure, then a superhedging strategy is given by gradient of the solution of a nonlinear partial differential equation, called the Black-Scholes-Barenblatt equation.