Branger, Nicole (contributor); Esser, Angelika (contributor) - 2004
static superhedge, i.e. a buy-and-hold strategy generating an affine-linear payoffs. We study whether a superhedge can be … kind of the non-traded risk factors. Our main findings for a stochastic volatility model with unbounded volatility show … which require the same initial capital. In a model with stochastic jumps, it is always ither a dynamic or a static strategy …
