NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS

We solve, by using a monotone and stable approximation, the fully nonlinear degenerate parabolic equation derived by Cheridito, Soner and Touzi [8] from the stochastic control problem of super-replicating a contingent claim under gamma constraints. We present some numerical results.

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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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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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