English, Article edition: NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS AGNÃS TOURIN

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Bookmark: http://trove.nla.gov.au/version/83119
Physical Description
  • article
Language
  • English

Edition details

Title
  • NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
Author
  • AGNÃS TOURIN
Physical Description
  • article
Notes
  • 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.
  • Nonlinear degenerate parabolic equation, stochastic control, finite difference, monotone approximation, viscosity solutions, super-replication problem, gamma constraints
  • RePEc:wsi:ijtafx:v:09:y:2006:i:03:p:401-414
Language
  • English
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