Browsing by Author "Bouchard, Bruno"

Now showing items 1-2 of 2

2006-03-30Buch

Barrier Option Hedging under Constraints

Bentahar, Imen; Bouchard, Bruno

We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed ...
2005-10-20Buch

Explicit characterization of the super-replication strategy in financial markets with partial transaction costs

Bentahar, Imen; Bouchard, Bruno

We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. ...