Super-Replication and Its Practical Limits.

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Authors
Publication date
2016
Publication type
Book Chapter
Summary In complete markets, the notion of viable price is very satisfying as it leads to the definition of a unique no-arbitrage price. Moreover, this price is the solution of a replication problem, which can be characterised quite simply. In particular, we have seen in Chap. 4 that this price is given as the unique solution of a linear PDE in a Markovian framework.
Publisher
Springer International Publishing
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