Super-replication in stochastic volatility models under portfolio constraints
type: Item
instance of: scholarly article
title: Super-replication in stochastic volatility models under portfolio constraints
zbMATH Open document ID: 0956.91043
author: Jakša Cvitanić
author: Huyên Pham
author: Nizar Touzi
published in: Journal of Applied Probability
publication date: 2000-04-10T00:00:00Z
full work available at URL: https://authors.library.caltech.edu/10919/
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1395824
zbMATH Keywords: super-replication
zbMATH Keywords: stochastic volatility
zbMATH Keywords: portfolio constraints
zbMATH Keywords: hedging
zbMATH Keywords: viscosity solutions
MaRDI profile type: Publication
OpenAlex ID: W2075749097
DOI: 10.1239/JAP/1032374469
description: scientific article; zbMATH DE number 1395824