Pages that link to "Item:Q2575852"
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The following pages link to The multi-dimensional super-replication problem under gamma constraints (Q2575852):
Displaying 21 items.
- Almost-sure hedging with permanent price impact (Q309172) (← links)
- Multiple \(G\)-Itō integral in \(G\)-expectation space (Q373435) (← links)
- Wellposedness of second order backward SDEs (Q438976) (← links)
- Martingale representation theorem for the \(G\)-expectation (Q550131) (← links)
- Option hedging for small investors under liquidity costs (Q650751) (← links)
- Option pricing with linear market impact and nonlinear Black-Scholes equations (Q1617139) (← links)
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
- Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827) (← links)
- Dual formulation of second order target problems (Q1948690) (← links)
- Stochastic invariance of closed sets with non-Lipschitz coefficients (Q1999922) (← links)
- A level-set approach for stochastic optimal control problems under controlled-loss constraints (Q2198527) (← links)
- Explicit deferred correction methods for second-order forward backward stochastic differential equations (Q2316181) (← links)
- When terminal facelift enforces delta constraints (Q2339121) (← links)
- Small time path behavior of double stochastic integrals and applications to stochastic control (Q2496497) (← links)
- Minimal supersolutions of convex BSDEs under constraints (Q2954231) (← links)
- PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT (Q4555858) (← links)
- Hedging of Covered Options with Linear Market Impact and Gamma Constraint (Q4588841) (← links)
- Second-Order Stochastic Target Problems with Generalized Market Impact (Q5205387) (← links)
- NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS (Q5483445) (← links)
- Martingale representation theorem for G-Brownian motion (Q5742382) (← links)
