Exact Superreplication Strategies for a Class of Derivative Assets

DOI10.1080/13504860500117560zbMath1157.91374OpenAlexW2016478555MaRDI QIDQ5489327

Joel M. Vanden

Publication date: 25 September 2006

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500117560

zbMATH Keywords

Black-Scholes-Barenblatt equationsuperreplicationtransaction costsuncertain volatilitysubreplication

Mathematics Subject Classification ID

Related Items

Partial super-hedging of derivatives with model risk ⋮ ``Regression anytime with brute-force SVD truncation ⋮ Tractable hedging with additional hedge instruments ⋮ Pathwise Dynamic Programming

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