Attainability of European Path Independent Claims in Incomplete Markets
Zusammenfassung
In this paper we consider the question which path-independent claims are attainable through self-financing trading strategies in an incomplete market. For continuous-time stochastic volatility models we show that only affine payoffs can be replicated. We provide a simple proof for this proposition based on the requirement that, for replication, the stock and the claim must be locally perfectly correlated, and based on the partial differential equation that any path-independent claim has to satisfy. Moreover, we show that this result does not carry over to discrete setups.
Schlüsselwörter
Incomplete markets; Attainability; Stochastic volatility; Superhedging
Zitieren als
Branger, N., Esser, A., & Schlag, C. (2004). Attainability of European Path Independent Claims in Incomplete Markets. Finance Research Letters, 1(3), 190–195.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2004
Fachzeitschrift
Finance Research Letters
Band
1
Ausgabe
3
Erste Seite
190
Letzte Seite
195
Sprache
Englisch
ISSN
1544-6123
DOI
Gesamter Text