Branger, Nicole; Esser, Angelika; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2004
This paper deals with the superhedging of derivatives on incomplete markets, i.e.with portfolio strategies which generate payoffs at least as high as that of a givencontingent claim. The simplest solution to this problem is in many cases a staticsuperhedge, i.e. a buy-and-hold strategy...