Barrier Option Hedging under Constraints: A Viscosity Approach

DOI10.1137/06065324XzbMath1126.91023MaRDI QIDQ3593019

Bruno Bouchard, Imen Bentahar

Publication date: 24 September 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionsportfolio constraintssuperrepliation

Mathematics Subject Classification ID

Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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