Superreplication when trading at market indifference prices

DOI10.1007/s00780-015-0278-7zbMath1403.91330arXiv1310.3113OpenAlexW1768613832MaRDI QIDQ261922

Selim Gökay, Peter Bank

Publication date: 29 March 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3113

zbMATH Keywords

superreplicationefficient hedgingdiscretely monitored Lévy process modelslarge investorlarge lossesutility indifference prices

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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