Superreplication of European multiasset derivatives with bounded stochastic volatility
Year of publication: |
2002
|
---|---|
Authors: | Gozzi, Fausto ; Vargiolu, Tiziano |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 55.2002, 1, p. 69-91
|
Publisher: |
Springer |
Subject: | superreplication | stochastic volatility | stochastic optimal control | Hamilton-Jacobi-Bellman equations |
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