Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus (Q6164098): Difference between revisions

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Latest revision as of 10:31, 2 August 2024

scientific article; zbMATH DE number 7719454
Language Label Description Also known as
English
Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus
scientific article; zbMATH DE number 7719454

    Statements

    Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus (English)
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    26 July 2023
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    backward stochastic differential equation with constraint
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    proportion constraint
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    variational inequality
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    Malliavin calculus
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    non-trivial options
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