Superreplication of European multiasset derivatives with bounded stochastic volatility

Fausto Gozzi and Tiziano Vargiolu

Mathematical Methods of Operations Research, 2002, vol. 55, issue 1, 69-91

Abstract: In this paper we analyze the superreplication approach in stochastic volatility models in the case of European multiasset derivatives. We prove that the Black-Scholes-Barenblatt (BSB) equation gives a superhedging strategy even if its solution is not twice differentiable. This is done under convexity assumptions on the final payoff h that are verified in some applications presented here. Copyright Springer-Verlag Berlin Heidelberg 2002

Keywords: Key words: superreplication; stochastic volatility; stochastic optimal control; Hamilton-Jacobi-Bellman equations (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:55:y:2002:i:1:p:69-91

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DOI: 10.1007/s001860200172

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