A class of financial products and models where super-replication prices are explicit
Résumé
We consider a multidimensional financial model with mild conditions on the underlying asset price process. The trading is only allowed at some fixed discrete times and the strategy is constrained to lie in a closed convex cone. We show how the minimal cost of a super hedging strategy can be easily computed by a backward recursive scheme. As an application, when the underlying follows a stochastic differential equation including stochastic volatility or Poisson jumps, we compute those super-replication prices for a range of European and American style options, including Asian, Lookback or Barrier Options. We also perform some multidimensional computations.
Domaines
Probabilités [math.PR]
Fichier principal
Carassus Gobet Temam 2006 A class of financial products and models where super-replication prices are explicit.pdf (142.12 Ko)
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