Direct Characterization of the Value of Super-Replication under Stochastic Volatility and Portfolio Constraints.

We study the problem of minimal initial capital needed in order to hedge a European contengent claim without risk. The financial market presents incompleteness arising from two sources: stochastic volatility and portfolio constraints described by a closed convex set. In contrast with previous literature which uses the dual formulation of the problem, we usean original dynamic programming principle stated directly on the initial problem, as in Soner and Touzi.

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Year of publication:	1999
Authors:	Touzi, N.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	CAPITAL \| PROGRAMME EVALUATION \| RISK

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E22 - Capital; Investment (including Inventories); Capacity ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630724