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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.

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Metadaten
Author:Christian Bender, Michael Kohlmann
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
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