Article ID: | iaor20031010 |
Country: | Germany |
Volume: | 55 |
Issue: | 1 |
Start Page Number: | 69 |
End Page Number: | 91 |
Publication Date: | Jan 2002 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Gozzi F., Vargiolu T. |
Keywords: | financial |
In this paper we analyze the superreplication approach in stochastic volatility models in the case of European multiasset derivatives. We prove that the Black–Scholes–Barenblatt (B) equation gives a superhedging strategy even if its solution is not twice differentiable. This is done under convexity assumptions on the final payoff