Barrier Option Hedging under Constraints: A Viscosity Approach

DOI10.1137/06065324XzbMATH Open1126.91023MaRDI QIDQ3593019FDOQ3593019

Authors: Imen Bentahar, Bruno Bouchard 

Publication date: 24 September 2007

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

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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)

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

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