The multi-dimensional super-replication problem under gamma constraints (Q2575852)
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scientific article; zbMATH DE number 2235972
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| English | The multi-dimensional super-replication problem under gamma constraints |
scientific article; zbMATH DE number 2235972 |
Statements
The multi-dimensional super-replication problem under gamma constraints (English)
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7 December 2005
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Black-Scholes hedging strategy
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viscosity property
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0.9156771898269652
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0.9145717620849608
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0.8700658082962036
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0.869960606098175
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