NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
| Autor: | Agnès Tourin |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
Stochastic control
Nonlinear system Monotone polygon Replication (statistics) Mathematical analysis Degenerate energy levels Finite difference Nonlinear degenerate parabolic equation stochastic control finite difference monotone approximation viscosity solutions super-replication problem gamma constraints General Economics Econometrics and Finance Finance Mathematics |
| Zdroj: | International Journal of Theoretical and Applied Finance. (03):401-414 |
| Popis: | We solve, by using a monotone and stable approximation, the fully nonlinear degenerate parabolic equation derived by Cheridito, Soner and Touzi [8] from the stochastic control problem of super-replicating a contingent claim under gamma constraints. We present some numerical results. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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