Comparison of two methods for superreplication

DOI10.1080/1350486X.2011.616103MaRDI QIDQ5363117zbMATH OpenFDO

Authors Erik Ekström, Johan Tysk

Publication date 5 October 2017

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

Full work available at URL https://doi.org/10.1080/1350486X.2011.616103

zbMATH Keywords

convexityoptionsparabolic equationssuperreplication

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• Superreplication of European multiasset derivatives with bounded stochastic volatility
• Superreplication of Options on Several Underlying Assets

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