In this paper, we investigate convex semigroups on Banach lattices. First, we consider the case, where the Banach lattice is σ-Dedekind complete and satisfies a monotone convergence property, having Lp-spaces in mind as a typical application. Second, we consider monotone convex semigroups on a...

In this paper we analyze the superreplication approach in stochastic volatility models in the case of European multiasset derivatives. We prove that the Black-Scholes-Barenblatt (BSB) equation gives a superhedging strategy even if its solution is not twice differentiable. This is done under...

In this paper we analyze the superreplication approach in stochastic volatility models in the case of European multiasset derivatives. We prove that the Black-Scholes-Barenblatt (BSB) equation gives a superhedging strategy even if its solution is not twice differentiable. This is done under...