Pathwise no-arbitrage in a class of delta hedging strategies (Q2296083)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pathwise no-arbitrage in a class of delta hedging strategies |
scientific article |
Statements
Pathwise no-arbitrage in a class of delta hedging strategies (English)
0 references
17 February 2020
0 references
pathwise hedging
0 references
exotic options
0 references
pathwise arbitrage
0 references
pathwise Itô calculus
0 references
Föllmer integral
0 references
local volatility
0 references
functional Itô formula
0 references
functional Cauchy problem on path space
0 references
0 references
0 references
