Barrier Option Hedging under Constraints : A Viscosity Approach

We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain...

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Year of publication:	2006-02-28
Authors:	Bentahar, Imen ; Bouchard, Bruno
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Risikomanagement \| risk management \| Portfoliomanagement \| portfolio management \| Barrier options \| Kapitalbedarf \| Super-replication

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Extent:	529408 bytes 42 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-022
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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