Publication: The problem of super-replication under constraints
Program
KU-Authors
KU Authors
Co-Authors
Touzi, Nizar
Advisor
Publication Date
2003
Language
English
Type
Journal Article
Journal Title
Journal ISSN
Volume Title
Abstract
These notes present an overview of the problem of super-replication under portfolio constraints. We start by examining the duality approach and its limitations. We then concentrate on the direct approach in the Markov case which allows to handle general large investor problems and gamma constraints. In the context of the Black and Scholes model, the main result from the practical view-point is the so-called face-lifting phenomenon of the payoff function.
Description
Source:
Paris-Princeton Lectures on Mathematical Finance 2002
Publisher:
Springer-Verlag Berlin
Keywords:
Subject
Mathematics