OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH

DOI10.1142/S0219024908004841zbMath1153.91463OpenAlexW2138432021MaRDI QIDQ3520538

Christian Bender, Michael Kohlmann

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908004841

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Least-Squares Monte Carlo for Backward SDEs ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ A stochastic linear-quadratic problem with Lévy processes and its application to finance ⋮ Dynamic trading under integer constraints

Cites Work

• Adapted solution of a backward stochastic differential equation
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• A forward scheme for backward SDEs
• European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio
• Backward Stochastic Differential Equations in Finance
• Superreplication Under Gamma Constraints
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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