HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING

DOI10.1111/j.1467-9965.2007.00294.xzbMath1278.91151OpenAlexW2068983309WikidataQ57635932 ScholiaQ57635932MaRDI QIDQ3446059

Nizar Touzi, Halil Mete Soner

Publication date: 8 June 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00294.x

zbMATH Keywords

optimal stoppingstochastic controlhedging under constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (4)

Option pricing with linear market impact and nonlinear Black-Scholes equations ⋮ Almost-sure hedging with permanent price impact ⋮ Dual formulation of second order target problems ⋮ The self-financing equation in limit order book markets

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