When Are Static Superhedging Strategies Optimal?
Year of publication: |
2004-10
|
---|---|
Authors: | Branger, Nicole ; Esser, Angelika ; Schlag, Christian |
Institutions: | Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main |
Subject: | Incomplete markets | superhedging | stochastic volatility | stochastic jumps | stochastic interest rates |
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