Superreplication of Options on Several Underlying Assets
نویسندگان
چکیده
We investigate when a hedger who over-estimates the volatility will superreplicate a convex claim on several underlying assets. It is shown that the classical Black and Scholes model is the only model, within a large class, for which over-estimation of the volatility yields the desired superreplication property. This is in contrast to the onedimensional case, in which it is known that over-estimation of the volatility with any model guarantees superreplication of convex claims.
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