Barrier Option Hedging under Constraints: A Viscosity Approach

DOI10.1137/06065324XMaRDI QIDQ3593019zbMATH OpenFDO

Authors Imen Bentahar, Bruno Bouchard

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

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

Recommendations

• Robust static hedging of barrier options in stochastic volatility models
• Barrier options and their static hedges: simple derivations and extensions
• Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
• OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
• Pricing barrier options under stochastic volatility framework
• A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
• Semi-static hedging for certain Margrabe-type options with barriers
• Static Hedging of Barrier Options with a Smile: An Inverse Problem
• The evaluation of barrier option prices under stochastic volatility

Cited in

(12)

• Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
• Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
• Edokko options: a new framework of barrier options
• Outperforming the market portfolio with a given probability
• Static Hedging of Barrier Options with a Smile: An Inverse Problem
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• Robust hedging of barrier options.
• Optimal control of European double barrier basket options
• A stochastic target approach for P\&L matching problems
• Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

This page was built for publication: Barrier Option Hedging under Constraints: A Viscosity Approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3593019)