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Communication Dans Un Congrès Année : 2006

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.
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Dates et versions

hal-00171582 , version 1 (12-09-2007)

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Laurence Carassus, Emmanuel Gobet, Emmanuel Temam. A class of financial products and models where super-replication prices are explicit. 6th Ritsumeikan International Symposium on Stochastic Processes and Applications to Mathematical Finance, Mar 2006, Kusatsu, Japan. pp.67-84, ⟨10.1142/9789812770448_0004⟩. ⟨hal-00171582⟩
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