On superhedging under delta constraints

DOI10.1080/13504860210150941zbMATH Open1014.91037OpenAlexW2093283527MaRDI QIDQ4551202FDOQ4551202

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

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zbMATH Keywords

superhedgingknockout option

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Superreplication Under Gamma Constraints

Cited In (12)

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

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