Explain an example of superhedging
Explain an example of superhedging.
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A simple illustration of superhedging would be to superhedge a short call position with buying one of the stocks and never rebalancing. Unluckily, as you can probably imagine, and positively as in this illustration, superhedging might provide you prices which differ vastly from the market.
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Stock price is $98; and European call option struck at $100 along with an expiration of nine months has a value of $9.07. There nine-month, compounded continuously, interest rate is 4.5%. So find out the value of the put option with the same strike and expirat
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