Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation

DOI10.1007/s00780-012-0198-8zbMath1257.91053OpenAlexW2163192117MaRDI QIDQ1936827

Bruno Bouchard, Ngoc Minh Dang

Publication date: 7 February 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-012-0198-8

zbMATH Keywords

state constraintsstochastic target problemsbook liquidationpricing under risk constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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