The multi-dimensional super-replication problem under gamma constraints

Patrick Cheridito; H. Mete Soner; Nizar Touzi

Annales de l'I.H.P. Analyse non linéaire (2005)

  • Volume: 22, Issue: 5, page 633-666
  • ISSN: 0294-1449

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Cheridito, Patrick, Soner, H. Mete, and Touzi, Nizar. "The multi-dimensional super-replication problem under gamma constraints." Annales de l'I.H.P. Analyse non linéaire 22.5 (2005): 633-666. <http://eudml.org/doc/78673>.

@article{Cheridito2005,
author = {Cheridito, Patrick, Soner, H. Mete, Touzi, Nizar},
journal = {Annales de l'I.H.P. Analyse non linéaire},
keywords = {Black-Scholes hedging strategy; viscosity property},
language = {eng},
number = {5},
pages = {633-666},
publisher = {Elsevier},
title = {The multi-dimensional super-replication problem under gamma constraints},
url = {http://eudml.org/doc/78673},
volume = {22},
year = {2005},
}

TY - JOUR
AU - Cheridito, Patrick
AU - Soner, H. Mete
AU - Touzi, Nizar
TI - The multi-dimensional super-replication problem under gamma constraints
JO - Annales de l'I.H.P. Analyse non linéaire
PY - 2005
PB - Elsevier
VL - 22
IS - 5
SP - 633
EP - 666
LA - eng
KW - Black-Scholes hedging strategy; viscosity property
UR - http://eudml.org/doc/78673
ER -

References

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