Super-Replication Under Gamma Constraints.

We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general Markov diffusion case, we prove a verification Theorem which characterizes the super-replication cost as the solution of a quasi variational inequality.

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Year of publication:	1999
Authors:	Soner, H.M. ; Touzi, N.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	FINANCIAL MARKET \| RISK \| COSTS

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G00 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005776485