Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327)
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scientific article; zbMATH DE number 5057352
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| English | Exact Superreplication Strategies for a Class of Derivative Assets |
scientific article; zbMATH DE number 5057352 |
Statements
Exact Superreplication Strategies for a Class of Derivative Assets (English)
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25 September 2006
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superreplication
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subreplication
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uncertain volatility
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Black-Scholes-Barenblatt equation
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transaction costs
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0.8061182498931885
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0.791442334651947
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0.7699958086013794
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