Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

DOI10.3934/NACO.2023007zbMATH Open1515.60224OpenAlexW4328023039MaRDI QIDQ6164098FDOQ6164098

Authors: Mingyu Xu 

Publication date: 26 July 2023

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2023007

Recommendations

• Superhedging under ratio constraint
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• On superhedging under delta constraints
• Barrier Option Hedging under Constraints: A Viscosity Approach
• scientific article; zbMATH DE number 1985275

zbMATH Keywords

Malliavin calculusvariational inequalitybackward stochastic differential equation with constraintnon-trivial optionsproportion constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cites Work

• User’s guide to viscosity solutions of second order partial differential equations
• Backward Stochastic Differential Equations in Finance
• Title not available (Why is that?)
• Hedging contingent claims with constrained portfolios
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Convex duality in constrained portfolio optimization
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Hedging American contingent claims with constrained portfolios
• Reflected BSDE with a constraint and its applications in an incomplete market
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Backward stochastic differential equations with constraints on the gains-process
• Superhedging under ratio constraint
• Constrained BSDEs, viscosity solutions of variational inequalities and their applications

Cited In (4)

• On the quasi-sure superhedging duality with frictions
• Superhedging under ratio constraint
• On superhedging under delta constraints
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH

This page was built for publication: Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6164098)