Robustness of the Black-Scholes approach in the case of options on several assets
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- Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.
- Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
- Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
- Rasmussen, Nicki Søndergaard, 2002. "Hedging with a Misspecified Model," Finance Working Papers 02-15, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
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Keywordsstochastic volatility; superreplication; stochastic optimal control; Hamilton-Jacobi-Bellman equations;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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