Numerical Approximation for a Superreplication Problem under Gamma Constraints

DOI10.1137/080725222zbMath1190.91141OpenAlexW2077264691MaRDI QIDQ3578075

Hasnaa Zidani, Benjamin Bruder, Olivier Bokanowski, Stefania Maroso

Publication date: 13 July 2010

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080725222

zbMATH Keywords

viscosity solutionnumerical approximationmonotone schemeHoward's algorithmgeneralized finite difference schemesuperreplication problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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