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- W2731643030 abstract "We show that when the price process $S$ represents a fully incomplete market, the optimal super-replication of any Markovian claim $g(S_T)$ with $g(cdot)$ being nonnegative and lower semicontinuous is of buy-and-hold type. Since both (unbounded) stochastic volatility models and rough volatility models are examples of fully incomplete markets, one can interpret the buy-and-hold property when super-replicating Markovian claims as a natural phenomenon in incomplete markets." @default.
- W2731643030 created "2017-07-14" @default.
- W2731643030 creator A5010656544 @default.
- W2731643030 date "2017-07-04" @default.
- W2731643030 modified "2023-09-27" @default.
- W2731643030 title "Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims" @default.
- W2731643030 hasPublicationYear "2017" @default.
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