Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Year of publication: |
December 2018
|
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Authors: | Neufeld, Ariel |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 8, p. 1-12
|
Subject: | Super-replication | fully imcomplete markets | robust pricing | stochastic volatility | rough volatility | Volatilität | Volatility | Unvollkommener Markt | Incomplete market | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
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