The multi-dimensional super-replication problem under gamma constraints
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- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
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Cited in
(29)- Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.
- Superreplication in stochastic volatility models and optimal stopping
- Superreplication of European multiasset derivatives with bounded stochastic volatility
- Multiple G-Itō integral in G-expectation space
- Wellposedness of second order backward SDEs
- Martingale representation theorem for the \(G\)-expectation
- Option hedging for small investors under liquidity costs
- Comparison of two methods for superreplication
- Option pricing with linear market impact and nonlinear Black-Scholes equations
- Small time path behavior of double stochastic integrals and applications to stochastic control
- A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options
- Hedging of covered options with linear market impact and gamma constraint
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- Almost-sure hedging with permanent price impact
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- When terminal facelift enforces delta constraints
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- Second-order stochastic target problems with generalized market impact
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- The super-replication problem via probabilistic methods
- Stochastic invariance of closed sets with non-Lipschitz coefficients
- Martingale representation theorem for \(G\)-Brownian motion
- Portfolio optimization under a quantile hedging constraint
- Superreplication Under Gamma Constraints
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- Minimal supersolutions of convex BSDEs under constraints
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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