On optimal super-hedging and sub-hedging strategies (Q2862515)
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scientific article; zbMATH DE number 6227544
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On optimal super-hedging and sub-hedging strategies |
scientific article; zbMATH DE number 6227544 |
Statements
15 November 2013
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super-hedging
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sub-hedging
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super-replication
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sub-replication
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model-independent
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On optimal super-hedging and sub-hedging strategies (English)
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The author provides upper bounds for European options on two asset prices with continuous distributions, but without assumptions on their dynamics. He provides examples for quanto, exchange, basket, forward-start and knock-out options. These superhedges are given, depending on the option, in terms of option prices on each asset; some of these options are clearly available (vanilla calls), some are not, and need to be computed numerically.
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