Branger, Nicole; Esser, Angelika; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2004
This paper deals with the superhedging of derivatives and with the corresponding price bounds. A static superhedge results in trivial and fully nonparametric price bounds, which can be tightened if there exists a cheaper superhedge in the class of dynamic trading strategies. We focus on European...