Superreplication of Options on Several Underlying Assets

DOI10.1239/JAP/1110381368MaRDI QIDQ5312838zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Svante Janson, Johan Tysk

Publication date 25 August 2005

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1110381368

zbMATH Keywords

convexityoptionparabolic equationsuperreplication

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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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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