Super-replication price: it can be ok

DOI10.1051/proc/201864054zbMath1419.91606OpenAlexW2900640252MaRDI QIDQ4615501

Tiziano Vargiolu, Laurence Carassus

Publication date: 29 January 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201864054

zbMATH Keywords

European contingent claimCox-Ross-Rubinstein modeldiscrete-time financial modelsuper-replication problem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Guaranteed deterministic approach to superhedging: case of binary European option ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Realistic models of financial market and structural stability ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Unnamed Item ⋮ The Robust Superreplication Problem: A Dynamic Approach

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• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Pricing and hedging derivative securities in markets with uncertain volatilities
• The Robust Superreplication Problem: A Dynamic Approach
• Option pricing: A simplified approach

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