TOURIN, AGNÈS - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 401-414
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.