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- W2118045241 abstract "In this paper we analyse the superreplication approach to stochastic volatility in the case of European interest rates derivatives. We exploit some general results of [13] and [17] to prove that the minimal superstrategy is given by the solution of a nonlinear PDE associated to the model, that is the so-called Black-Scholes-Barenblatt (BSB) equation. In particular we show how this approach applies to the case of caps and floors extending results of [6]." @default.
- W2118045241 created "2016-06-24" @default.
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- W2118045241 date "2002-01-01" @default.
- W2118045241 modified "2023-09-25" @default.
- W2118045241 title "On the Superreplication Approach for European Interest Rates Derivatives" @default.
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- W2118045241 doi "https://doi.org/10.1007/978-3-0348-8209-5_12" @default.
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