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Exact Superreplication Strategies for a Class of Derivative Assets - MaRDI portal

Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327)

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scientific article; zbMATH DE number 5057352
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Exact Superreplication Strategies for a Class of Derivative Assets
scientific article; zbMATH DE number 5057352

    Statements

    title
    Exact Superreplication Strategies for a Class of Derivative Assets (English)
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    author
    Joel M. Vanden
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    publication date
    25 September 2006
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    zbMATH Keywords
    superreplication
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    subreplication
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    uncertain volatility
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    Black-Scholes-Barenblatt equation
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    transaction costs
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    Identifiers

    zbMATH DE Number
    5057352
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    OpenAlex ID
    W2016478555
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