Robustness of the Black-Scholes approach in the case of options on several assets

DOI10.1007/s007800050076zbMath0957.35063OpenAlexW2067553711MaRDI QIDQ5926470

Tiziano Vargiolu, Silvia Romagnoli

Publication date: 1 March 2001

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

Full work available at URL: https://doi.org/10.1007/s007800050076

zbMATH Keywords

Hamilton-Jacobi-Bellman equationBlack-Scholes-Barenblatt equationBSB equationstochastic optimal controlstochastic volatilitysuperreplication

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mathematical economics (91B99)

Related Items (5)

Superreplication of Options on Several Underlying Assets ⋮ Optimal arbitrage under model uncertainty ⋮ The scaling limit of superreplication prices with small transaction costs in the multivariate case ⋮ Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity ⋮ Exact Superreplication Strategies for a Class of Derivative Assets

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