Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.

DOI10.1016/S0304-4149(00)00007-7zbMath1048.91072MaRDI QIDQ1877518

Nizar Touzi

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionstochastic control

Mathematics Subject Classification ID

Related Items (9)

Optimality conditions in variational form for non-linear constrained stochastic control problems ⋮ A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS ⋮ Robust utility maximization for a diffusion market model with misspecified coefficients ⋮ Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation ⋮ Optimal control versus stochastic target problems: an equivalence result ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility ⋮ Maturity randomization for stochastic control problems ⋮ Stochastic targets with mixed diffusion processes and viscosity solutions. ⋮ The multi-dimensional super-replication problem under gamma constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hedging contingent claims with constrained portfolios
• Optional decompositions under constraints
• Bounds on European Option Prices under Stochastic Volatility
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• User’s guide to viscosity solutions of second order partial differential equations
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
• Super-replication in stochastic volatility models under portfolio constraints
• Pricing and hedging derivative securities in markets with uncertain volatilities

This page was built for publication: Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints.