A Stochastic Target Approach for P&L Matching Problems

DOI10.1287/moor.1120.0549zbMath1297.91150OpenAlexW2169200250MaRDI QIDQ2925345

Thanh Nam Vu, Bruno Bouchard

Publication date: 21 October 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1120.0549

zbMATH Keywords

quantile hedgingstochastic target problemdiscontinuous viscosity solutions

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Viscosity solutions to PDEs (35D40)

Related Items

A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Stochastic target games with controlled loss ⋮ Hedging under multiple risk constraints ⋮ A Backward Dual Representation for the Quantile Hedging of Bermudan Options ⋮ A Numerical Scheme for the Quantile Hedging Problem

Cites Work

• Unnamed Item
• Outperforming the market portfolio with a given probability
• Optional decompositions under constraints
• Dynamic programming for stochastic target problems and geometric flows
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
• Quantile hedging
• Stochastic Target Problems with Controlled Loss
• Barrier Option Hedging under Constraints: A Viscosity Approach
• User’s guide to viscosity solutions of second order partial differential equations
• An approximation scheme for the optimal control of diffusion processes
• Super-replication in stochastic volatility models under portfolio constraints