Superreplication of European multiasset derivatives with bounded stochastic volatility
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Publication:1397041
DOI10.1007/s001860200172zbMath1115.91034OpenAlexW2140151373MaRDI QIDQ1397041
Fausto Gozzi, Tiziano Vargiolu
Publication date: 16 July 2003
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860200172
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Production theory, theory of the firm (91B38)
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