Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus (Q6164098)
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scientific article; zbMATH DE number 7719454
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| English | Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus |
scientific article; zbMATH DE number 7719454 |
Statements
Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus (English)
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26 July 2023
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backward stochastic differential equation with constraint
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proportion constraint
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variational inequality
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Malliavin calculus
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non-trivial options
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0.8936917185783386
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0.8456072807312012
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0.8195573091506958
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0.8176321387290955
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