The multi-dimensional super-replication problem under gamma constraints (Q2575852)

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The multi-dimensional super-replication problem under gamma constraints
scientific article

    Statements

    title
    The multi-dimensional super-replication problem under gamma constraints (English)
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    author
    Patrick Cheridito
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    Halil Mete Soner
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    Nizar Touzi
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    publication date
    7 December 2005
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    zbMATH Keywords
    Black-Scholes hedging strategy
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    viscosity property
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91G20
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    35K55
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    60H30
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    zbMATH DE Number
    2235972
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    Wikidata QID
    Q57635942
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