Numerical Approximation for a Superreplication Problem under Gamma Constraints
Work
Year: 2009
Type: article
Abstract: We study a superreplication problem of European options with gamma constraints in mathematical finance. The initially unbounded control problem is set back to a problem involving a viscosity PDE solut... more
Institutions Laboratoire Jacques-Louis Lions, Laboratoire de Probabilités et Modèles Aléatoires, Centre de Mathématiques Appliquées, École Polytechnique, Laboratoire d'Optique Appliquée
Cites: 31
Cited by: 15
Related to: 10
FWCI: 0.528
Citation percentile (by year/subfield): 85.33
Subfield: Finance
Domain: Social Sciences
Open Access status: green