NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
Year of publication: |
2006
|
---|---|
Authors: | TOURIN, AGNÈS |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 03, p. 401-414
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Nonlinear degenerate parabolic equation | stochastic control | finite difference | monotone approximation | viscosity solutions | super-replication problem | gamma constraints |
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