Superreplication when trading at market indifference prices

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

superreplication; efficient hedging; discretely monitored Lévy process models; large investor; large losses; utility indifference prices

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

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