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Optimal Superhedging under Nonconvex Constraints - A BSDE Approach
Please always quote using this URN:urn:nbn:de:0296-matheon-1659
- We apply theoretical results of S. Peng on supersolutions for BS-DEs to the problem of finding optimal superhedging strategies in a Black-Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be nonconvex, time-dependent, and random. Constraints on the portfolio may e.g. be formulated in terms of the amount of money invested, the portfolio proportion, or the number of shares held.
Author: | Christian Bender, Michael Kohlmann |
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URN: | urn:nbn:de:0296-matheon-1659 |
Referee: | Peter Imkeller |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2005/04/01 |
Release Date: | 2004/09/27 |
Institute: | Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) |
Preprint Number: | 188 |