NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS (Q5483445)
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scientific article; zbMATH DE number 5045376
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| English | NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS |
scientific article; zbMATH DE number 5045376 |
Statements
NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS (English)
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14 August 2006
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nonlinear degenerate parabolic equation
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stochastic control
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finite difference
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monotone approximation
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viscosity solutions
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super-replication problem
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gamma constraints
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0.8936306238174438
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0.8672166466712952
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0.8471775650978088
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0.846346914768219
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