Superreplication of European multiasset derivatives with bounded stochastic volatility

Mathematical Methods of Operations Research

Volumn 55, Issue 1, 2002, Pages 69-91

  Gozzi, Fausto ^a   Vargiolu, Tiziano ^b  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b UNIVERSITY OF PADOVA   (Italy)

Author keywords

Hamilton Jacobi Bellman equations; Stochastic optimal control; Stochastic volatility; Superreplication

Indexed keywords

MATHEMATICAL MODELS; OPTIMAL CONTROL SYSTEMS; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES; STOCHASTIC CONTROL SYSTEMS;

STOCHASTIC OPTIMAL CONTROL;

OPERATIONS RESEARCH;

EID: 0036501524     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860200172     Document Type: Article

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