Pathwise no-arbitrage in a class of delta hedging strategies (Q2296083)
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scientific article; zbMATH DE number 7168347
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pathwise no-arbitrage in a class of delta hedging strategies |
scientific article; zbMATH DE number 7168347 |
Statements
Pathwise no-arbitrage in a class of delta hedging strategies (English)
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17 February 2020
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pathwise hedging
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exotic options
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pathwise arbitrage
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pathwise Itô calculus
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Föllmer integral
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local volatility
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functional Itô formula
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functional Cauchy problem on path space
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0.8074607849121094
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0.7922293543815613
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0.7861872315406799
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0.7828792333602905
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0.7803714871406555
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