Exact Superreplication Strategies for a Class of Derivative Assets

DOI10.1080/13504860500117560zbMATH Open1157.91374OpenAlexW2016478555MaRDI QIDQ5489327FDOQ5489327

Authors: Joel M. Vanden 

Publication date: 25 September 2006

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500117560

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zbMATH Keywords

transaction costssuperreplicationBlack-Scholes-Barenblatt equationuncertain volatilitysubreplication

Mathematics Subject Classification ID

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Title not available (Why is that?)
• A closed-form solution to the problem of super-replication under transaction costs
• Hedging contingent claims with constrained portfolios
• Martingales and arbitage in securities markets with transaction costs
• Title not available (Why is that?)
• Superreplication Under Gamma Constraints
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Bounds on European option prices under stochastic volatility
• Robustness of the Black and Scholes Formula
• Super-replication in stochastic volatility models under portfolio constraints
• Superreplication in stochastic volatility models and optimal stopping
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Robustness of the Black-Scholes approach in the case of options on several assets
• Optimal R\&D investment for a risk-averse entrepreneur
• On Leland's strategy of option pricing with transactions costs
• Superreplication of European multiasset derivatives with bounded stochastic volatility
• Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process

Cited In (5)

• Tractable hedging with additional hedge instruments
• Pathwise dynamic programming
• On the super-replicating approach when trading a derivative is limited
• ``Regression anytime with brute-force SVD truncation
• Partial super-hedging of derivatives with model risk

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