Volatility misspecification, option pricing and superreplication via coupling

DOI10.1214/aoap/1027961040zbMath0933.91012OpenAlexW2032422763MaRDI QIDQ1296625

Publication date: 9 April 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1027961040

zbMATH Keywords

options diffusions robust hedging coupling volatility super-replication

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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