On superhedging under delta constraints

DOI10.1080/13504860210150941MaRDI QIDQ4551202zbMATH OpenOpenAlexFDO

Authors Jun Sekine

Publication date 5 September 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860210150941

zbMATH Keywords

superhedgingknockout option

Mathematics Subject Classification ID

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Cites work

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Cited in

(13)

• On optimal super-hedging and sub-hedging strategies
• Hedging costs for two large investors
• Superhedging under ratio constraint
• Valuation of exotic options under shortselling constraints
• Exact Superreplication Strategies for a Class of Derivative Assets
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• When terminal facelift enforces delta constraints
• On the quasi-sure superhedging duality with frictions
• A short note on super-hedging an arbitrary number of European options with integer-valued strategies
• A dual representation of gain-loss hedging for European claims in discrete time
• The multi-dimensional super-replication problem under gamma constraints
• On dynamic programming equations for utility indifference pricing under delta constraints
• Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

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