Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus (Q6164098)
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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 |
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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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