Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
Metadata only
Datum
2018-12Typ
- Journal Article
Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
International Journal of Theoretical and Applied FinanceBand
Seiten / Artikelnummer
Verlag
World ScientificThema
Super-replication; Fully incomplete markets; robust pricing; stochastic volatility; rough volatilityOrganisationseinheit
09557 - Cheridito, Patrick / Cheridito, Patrick
Förderung
172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)
Zugehörige Publikationen und Daten
Is new version of: https://doi.org/10.3929/ethz-b-000219155