The problem of super-replication under constraints

DOI10.1007/978-3-540-44859-4_4MaRDI QIDQ4429139zbMATH OpenFDO

Authors Nizar Touzi, H. Mete Soner

Publication date 24 September 2003

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-44859-4_4

zbMATH Keywords

dualitydynamic programmingsuper-replication

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic models in economics (91B70)

Review text

The authors consider the problem of super-replication for financial problems, i.e. the minimal initial capital which allows to hedge some given contingent claim at some terminal time \(T\). After the problem formulation, the authors show the duality approach to the problem of super replication under portfolio constraints. The general result is based on the optional decomposition theorem. Further results are given for the Markov case in section 4. Section 5 gives an explicit solution of the super-replication problem under portfolio constraints in the context of the Black-Scholes model. In section 6 the authors present an original programming principle stated directly on the initial formulation of the super-replication problem. Finally, hedging under gamma constraints is analyzed. For the entire collection see [Zbl 1018.00007].

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(19)

• The super-replication problem via probabilistic methods
• Sublinear price functionals under portfolio constraints
• Superhedging under ratio constraint
• When terminal facelift enforces delta constraints
• Super-replication and utility maximization in large financial markets
• The multi-dimensional super-replication problem under gamma constraints
• Model-independent superhedging under portfolio constraints
• A stochastic target approach for P\&L matching problems
• Hedging costs for two large investors
• Numerical approximation for a superreplication problem under gamma constraints
• Superreplication Under Gamma Constraints
• On superhedging under delta constraints
• Super-replication price: it can be ok
• On an optimization problem related to static super-replicating strategies
• Super-replication in stochastic volatility models under portfolio constraints
• NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
• Exact Superreplication Strategies for a Class of Derivative Assets
• Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus
• Super-replication of life-contingent options under the Black-Scholes framework

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