The multi-dimensional super-replication problem under gamma constraints

DOI10.1016/j.anihpc.2004.10.012zbMath1078.91010OpenAlexW2042683957WikidataQ57635942 ScholiaQ57635942MaRDI QIDQ2575852

Halil Mete Soner, Patrick Cheridito, Nizar Touzi

Publication date: 7 December 2005

Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPC_2005__22_5_633_0

zbMATH Keywords

Black-Scholes hedging strategyviscosity property

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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