Superreplication of European multiasset derivatives with bounded stochastic volatility

Abstract.

In this paper we analyze the superreplication approach in stochastic volatility models in the case of European multiasset derivatives. We prove that the Black-Scholes-Barenblatt (BSB) equation gives a superhedging strategy even if its solution is not twice differentiable. This is done under convexity assumptions on the final payoff h that are verified in some applications presented here.