Superreplication of European multiasset derivatives with bounded stochastic volatility

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

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Year of publication:	2002
Authors:	Gozzi, Fausto ; Vargiolu, Tiziano
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 55.2002, 1, p. 69-91
Publisher:	Springer
Subject:	superreplication \| stochastic volatility \| stochastic optimal control \| Hamilton-Jacobi-Bellman equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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