TY  - UNPD
A1  - Branger, Nicole
A1  - Esser, Angelika
A1  - Schlag, Christian
T1  - When are static superhedging strategies optimal?
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 138
N2  - This paper deals with the superhedging of derivatives and with the corresponding price bounds. A static superhedge results in trivial and fully nonparametric price bounds, which can be tightened if there exists a cheaper superhedge in the class of dynamic trading strategies. We focus on European path-independent claims and show under which conditions such an improvement is possible. For a stochastic volatility model with unbounded volatility, we show that a static superhedge is always optimal, and that, additionally, there may be infinitely many dynamic superhedges with the same initial capital. The trivial price bounds are thus the tightest ones. In a model with stochastic jumps or non-negative stochastic interest rates either a static or a dynamic superhedge is optimal. Finally, in a model with unbounded short rates, only a static superhedge is possible.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 138 
KW  - Finanzderivat / Hedging / Strategie / Volatilität / Stochastischer Prozess / Theorie
KW  - Incomplete markets
KW  - superhedging
KW  - stochastic volatility
KW  - stochastic jumps
KW  - stochastic interest rates
KW  - Derivat, Wertpapier
KW  - Hedging
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3707
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-17676
IS  - Version: January 16, 2004
PB  - Univ., Fachbereich Wirtschaftswiss.
CY  - Frankfurt am Main
ER  -