Super-replication in stochastic volatility models under portfolio constraints (Q4935343)
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scientific article; zbMATH DE number 1395824
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| English | Super-replication in stochastic volatility models under portfolio constraints |
scientific article; zbMATH DE number 1395824 |
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Super-replication in stochastic volatility models under portfolio constraints (English)
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10 April 2000
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super-replication
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stochastic volatility
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portfolio constraints
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hedging
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viscosity solutions
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0.929519772529602
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0.8759746551513672
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0.8759746551513672
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0.8615368604660034
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