Superreplication of Options on Several Underlying Assets
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Publication:5312838
DOI10.1239/jap/1110381368zbMath1125.91052OpenAlexW2113325363MaRDI QIDQ5312838
Svante Janson, Erik Ekström, Johan Tysk
Publication date: 25 August 2005
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1110381368
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (8)
Convexity preserving jump-diffusion models for option pricing ⋮ Multi-dimensional sequential testing and detection ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Comparison results for stochastic volatility models via coupling ⋮ Convexity theory for the term structure equation ⋮ Tractable hedging: An implementation of robust hedging strategies ⋮ A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options ⋮ MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES
Cites Work
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- Propagation of convexity by Markovian and martingalian semigroups
- Volatility misspecification, option pricing and superreplication via coupling
- Superreplication of European multiasset derivatives with bounded stochastic volatility
- Volatility time and properties of option prices
- Preservation of convexity of solutions to parabolic equations
- Properties of American option prices
- Robustness of the Black and Scholes Formula
- Robustness of the Black-Scholes approach in the case of options on several assets
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