Gozzi, Fausto; Vargiolu, Tiziano - In: Computational Statistics 55 (2002) 1, pp. 69-91
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...