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...

We study the compatibility of the optimal population size concepts produced by different social welfare functions and egalitarism meant as "equal consumption for all individuals of all generations". Social welfare functions are parameterized by an altruism parameter generating the Benthamite and...

We study the compatibility of the optimal population size concepts produced by different social welfare functions and egalitarianism meant as “equal consumption for all individuals of all generations”. Social welfare functions are parameterized by an altruism parameter generating the...

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...

This paper deals with an endogenous growth model with vintage capital and, more precisely, with the AK model proposed in [18]. In endogenous growth models the introduction of vintage capital allows to explain some growth facts but strongly increases the mathematical difficulties. So far, in this...