In incomplete financial markets, the lack of replicability of contingent claims justifies the introduction of superhedging. Given a contingent claim H , a superhedging strategy is an admissible strategy that super‐replicates H at maturity. The initial endowment that allows to pursue that strategy is called the superhedging price . This article is a short survey of the main results on this topic in the mathematical finance literature. We focus especially on continuous‐time hedging of European‐type options.

Superhedging / L. Campi - In: Encyclopedia of Quantitative Finance[s.l] : Wiley, 2010. - ISBN 9780470057568. - pp. 1-7 [10.1002/9780470061602.eqf04012]

Superhedging

L. Campi
2010

Abstract

In incomplete financial markets, the lack of replicability of contingent claims justifies the introduction of superhedging. Given a contingent claim H , a superhedging strategy is an admissible strategy that super‐replicates H at maturity. The initial endowment that allows to pursue that strategy is called the superhedging price . This article is a short survey of the main results on this topic in the mathematical finance literature. We focus especially on continuous‐time hedging of European‐type options.
Settore MAT/06 - Probabilita' e Statistica Matematica
2010
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/751159
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