Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims - Research Collection

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Author

Date

2018-12

Type

Journal Article

Citations

Cited 7 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1142/S0219024918500516

Journal / series

International Journal of Theoretical and Applied Finance

Volume

21(8)

Pages / Article No.

1850051

Publisher

World Scientific

Subject

Super-replication; Fully incomplete markets; robust pricing; stochastic volatility; rough volatility

Organisational unit

09557 - Cheridito, Patrick / Cheridito, Patrick

Funding

172815 - Asymptotics and Model Uncertainty in Optimal Control (SNF)

Related publications and datasets

Is new version of: https://doi.org/10.3929/ethz-b-000219155

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Citations

Cited 7 times in Scopus

ETH Bibliography

yes

Altmetrics