Rebalancing static super-replications
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DOI: 10.1142/S2424786317500037
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- Yukihiro Tsuzuki, 2012. "On the Optimal Super- and Sub-Hedging Strategies," CARF F-Series CARF-F-300, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2013.
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Cited by:
- Robin Dee & Armin Fügenschuh & George Kaimakamis, 2021. "The Unit Re-Balancing Problem," Mathematics, MDPI, vol. 9(24), pages 1-19, December.
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Keywords
Super-replication; Doob–Meyer decomposition; rebalance; cross-currency option; one-touch option;All these keywords.
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