Publication: The problem of super-replication under constraints
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KU-Authors
KU Authors
Co-Authors
Touzi, Nizar
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Embargo Status
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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.
Source
Publisher
Springer-Verlag Berlin
Subject
Mathematics
Citation
Has Part
Source
Paris-Princeton Lectures on Mathematical Finance 2002