Superreplication of European multiasset derivatives with bounded stochastic volatility

DOI10.1007/s001860200172zbMath1115.91034OpenAlexW2140151373MaRDI QIDQ1397041

Fausto Gozzi, Tiziano Vargiolu

Publication date: 16 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860200172

zbMATH Keywords

stochastic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Production theory, theory of the firm (91B38)

Related Items (7)

Superreplication of Options on Several Underlying Assets ⋮ On properties of solutions to Black-Scholes-Barenblatt equations ⋮ Optimal control of martingales in a radially symmetric environment ⋮ Optimal arbitrage under model uncertainty ⋮ A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ Exact Superreplication Strategies for a Class of Derivative Assets

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