Super-replication in stochastic volatility models under portfolio constraints
From MaRDI portal
Publication:4935343
DOI10.1239/jap/1032374469zbMath0956.91043OpenAlexW2075749097MaRDI QIDQ4935343
Huyên Pham, Jakša Cvitanić, Nizar Touzi
Publication date: 10 April 2000
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://authors.library.caltech.edu/10919/
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)
Related Items
Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints., Robust pricing and hedging under trading restrictions and the emergence of local martingale models, Hedging Under an Expected Loss Constraint with Small Transaction Costs, A Stochastic Target Approach for P&L Matching Problems, Explicit characterization of the super-replication strategy in financial markets with partial transaction costs, Hedging of Covered Options with Linear Market Impact and Gamma Constraint, Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework, Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation, Capital Growth and Survival Strategies in a Market with Endogenous Prices, The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions, A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options, Option hedging for small investors under liquidity costs, Optimal arbitrage under model uncertainty, A closed-form solution for options with ambiguity about stochastic volatility, BUY-AND-HOLD PROPERTY FOR FULLY INCOMPLETE MARKETS WHEN SUPER-REPLICATING MARKOVIAN CLAIMS, Some recent developments in stochastic volatility modelling, The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints, Maturity randomization for stochastic control problems, Continuity of utility maximization under weak convergence, BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS, Pathwise superhedging on prediction sets, Variance-optimal hedging for processes with stationary independent increments, Pricing and hedging in incomplete markets with model uncertainty, A comparative study of pricing approaches for longevity instruments, Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility, Sublinear price functionals under portfolio constraints, Exact Superreplication Strategies for a Class of Derivative Assets, The multi-dimensional super-replication problem under gamma constraints, When terminal facelift enforces delta constraints
