Sökning: "superreplication"

Hittade 1 avhandling innehållade ordet superreplication.

  1. 1. Selected Problems in Financial Mathematics

    Författare :Erik Ekström; Johan Tysk; Svante Janson; Lane P. Hughston; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Mathematical analysis; American options; convexity; monotonicity in the volatility; robustness; optimal stopping; parabolic equations; free boundary problems; volatility; Russian options; game options; excessive functions; superreplication; smooth fit; Matematisk analys; Mathematical analysis; Analys;

    Sammanfattning : This thesis, consisting of six papers and a summary, studies the area of continuous time financial mathematics. A unifying theme for many of the problems studied is the implications of possible mis-specifications of models. Intimately connected with this question is, perhaps surprisingly, convexity properties of option prices. LÄS MER