Superreplication in stochastic volatility models and optimal stopping

DOI10.1007/S007800050010zbMath0951.91029OpenAlexW1995951988MaRDI QIDQ1584194

Rüdiger Frey

Publication date: 1 November 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050010

zbMATH Keywords

optimal stoppingstochastic volatilitysuperreplicationincomplete markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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