When terminal facelift enforces delta constraints

DOI10.1007/s00780-015-0260-4zbMath1307.93449arXiv1307.6020OpenAlexW2165295466MaRDI QIDQ2339121

Jean-François Chassagneux, Idris Kharroubi, Romuald Elie

Publication date: 30 March 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.6020

zbMATH Keywords

superreplicationviabilityportfolio constraintsfaceliftBSDEs

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Parabolic equations and parabolic systems (35K99) Portfolio theory (91G10)

Related Items

Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Numerical approximation of general Lipschitz BSDEs with branching processes ⋮ Facelifting in utility maximization

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