Barrier Option Hedging under Constraints: A Viscosity Approach (Q3593019)

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Barrier Option Hedging under Constraints: A Viscosity Approach
scientific article

    Statements

    title
    Barrier Option Hedging under Constraints: A Viscosity Approach (English)
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    author
    Imen Bentahar
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    Bruno Bouchard
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    publication date
    24 September 2007
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    zbMATH Keywords
    superrepliation
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    portfolio constraints
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    viscosity solutions
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    Identifiers

    DOI
    10.1137/06065324X
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    Mathematics Subject Classification ID
    91G20
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    49L25
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    35B05
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    zbMATH DE Number
    5194915
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