Exact Superreplication Strategies for a Class of Derivative Assets
type: Item
instance of: scholarly article
title: Exact Superreplication Strategies for a Class of Derivative Assets
zbMATH Open document ID: 1157.91374
DOI: 10.1080/13504860500117560
author: Joel M. Vanden
published in: Applied Mathematical Finance
publication date: 2006-09-25T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5057352
zbMATH Keywords: superreplication
zbMATH Keywords: subreplication
zbMATH Keywords: uncertain volatility
zbMATH Keywords: Black-Scholes-Barenblatt equation
zbMATH Keywords: transaction costs
MaRDI profile type: MaRDI publication profile
full work available at URL: https://doi.org/10.1080/13504860500117560
OpenAlex ID: W2016478555
cites work: Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
cites work: DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1
cites work: The pricing of options and corporate liabilities
cites work: Q4230831
cites work: Hedging contingent claims with constrained portfolios
cites work: Super-replication in stochastic volatility models under portfolio constraints
cites work: A closed-form solution to the problem of super-replication under transaction costs
cites work: Robustness of the Black and Scholes Formula
cites work: Superreplication in stochastic volatility models and optimal stopping
cites work: Bounds on European option prices under stochastic volatility
cites work: Superreplication of European multiasset derivatives with bounded stochastic volatility
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Q4794126
cites work: Martingales and arbitage in securities markets with transaction costs
cites work: On Leland's strategy of option pricing with transactions costs
cites work: Optimal Control of the Diffusion Coefficient of a Simple Diffusion Process
cites work: Robustness of the Black-Scholes approach in the case of options on several assets
cites work: Superreplication Under Gamma Constraints
cites work: Optimal R\&D investment for a risk-averse entrepreneur
description: scientific article; zbMATH DE number 5057352