This paper deals with the super-replication of non path-dependent European claims under additional convex constraints … on the number of shares held in the portfolio. The corresponding super-replication price of a given claim has been widely … of the claim. We investigate under which conditions the super-replication price and strategy of a large class of claims …

Following the framework of Cetin et al. (finance stoch. 8:311-341, 2004), we study the problem of super-replication in … black-scholes economy. We find that the minimal super-replication price is different from the one suggested by the black …

the gradient. Key words : Super-replication, barrier options, portfolio constraints, viscosity solu- tions. MSC … T otherwise: τ := inf{t ∈ [0,T] : X(t) /∈ O}∧T , with the usual convention inf∅ = ∞. The super-replication cost under …

is defined by a certain risk measure, e.g., super-replication, minimum expected shortfall given a constraint on the …-off between reduced hedging costs and overall super-replication. Even without considering transaction costs, hedging by using only …