A stochastic target approach for P\&L matching problems
type: Item
instance of: scholarly article
zbMATH Open document ID: 1297.91150
author: Bruno Bouchard
author: Thanh Nam Vu
published in: Mathematics of Operations Research
publication date: 2014-10-21T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 35D40
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6359619
zbMATH Keywords: stochastic target problem
zbMATH Keywords: discontinuous viscosity solutions
zbMATH Keywords: quantile hedging
MaRDI profile type: Publication
full work available at URL: moor.1120.0549
OpenAlex ID: W2169200250
cites work: Outperforming the market portfolio with a given probability
cites work: Barrier Option Hedging under Constraints: A Viscosity Approach
cites work: Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
cites work: Stochastic Target Problems with Controlled Loss
cites work: An approximation scheme for the optimal control of diffusion processes
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Super-replication in stochastic volatility models under portfolio constraints
cites work: Optional decompositions under constraints
cites work: Quantile hedging
cites work: Dynamic programming for stochastic target problems and geometric flows
cites work: Q4429139
DOI: 10.1287/MOOR.1120.0549
title: A stochastic target approach for P\&L matching problems
description: scientific article; zbMATH DE number 6359619