When Are Static Superhedging Strategies Optimal?
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KeywordsIncomplete markets; superhedging; stochastic volatility; stochastic jumps; stochastic interest rates;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-12 (All new papers)
- NEP-FIN-2004-12-12 (Finance)
- NEP-FIN-2004-12-15 (Finance)
- NEP-FMK-2004-12-12 (Financial Markets)
- NEP-RMG-2004-12-12 (Risk Management)
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