Exact Superreplication Strategies for a Class of Derivative Assets
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- Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
More about this item
KeywordsSuperreplication; subreplication; uncertain volatility; Black-Scholes-Barenblatt equation; transaction costs;
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