Superreplication of Options on Several Underlying Assets
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Recommendations
- Superreplication of European multiasset derivatives with bounded stochastic volatility
- Super-replication price: it can be ok
- Super-replication in stochastic volatility models under portfolio constraints
- Superreplication under model uncertainty in discrete time
- Comparison of two methods for superreplication
Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1971728 (Why is no real title available?)
- Preservation of convexity of solutions to parabolic equations
- Propagation of convexity by Markovian and martingalian semigroups
- Properties of American option prices
- Robustness of the Black and Scholes Formula
- Robustness of the Black-Scholes approach in the case of options on several assets
- Superreplication of European multiasset derivatives with bounded stochastic volatility
- Volatility misspecification, option pricing and superreplication via coupling
- Volatility time and properties of option prices
Cited in
(14)- Volatility misspecification, option pricing and superreplication via coupling
- Comparison results for stochastic volatility models via coupling
- Price comparison results and super-replication: An application to passport options
- Option overlay strategies
- Multi-dimensional sequential testing and detection
- Comparison of two methods for superreplication
- A uniform asymptotic expansion for stochastic volatility model in pricing multi-asset European options
- MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES
- Robustness of Delta Hedging in a Jump-Diffusion Model
- Super-replication of life-contingent options under the Black-Scholes framework
- Convexity preserving jump-diffusion models for option pricing
- Convexity theory for the term structure equation
- Static super-replicating strategies for a class of exotic options
- Tractable hedging: An implementation of robust hedging strategies
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