Barrier option hedging under constraints: A viscosity approach
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References listed on IDEAS
- Uwe Wystup & Uwe Schmock & Steven E. Shreve, 2002. "Valuation of exotic options under shortselling constraints," Finance and Stochastics, Springer, vol. 6(2), pages 143-172.
- Broadie, Mark & Cvitanic, Jaksa & Soner, H Mete, 1998. "Optimal Replication of Contingent Claims under Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 59-79.
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- repec:dau:papers:123456789/1930 is not listed on IDEAS
- Christopher W. Miller, 2016. "A Duality Result for Robust Optimization with Expectation Constraints," Papers 1610.01227, arXiv.org.
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More about this item
Keywords
Super-replication; barrier options; portfolio constraints; viscosity solutions;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2006-04-08 (Financial Markets)
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