Barrier Option Hedging under Constraints
dc.contributor.author | Bentahar, Imen | |
dc.contributor.author | Bouchard, Bruno | |
dc.date.accessioned | 2017-06-15T23:07:06Z | |
dc.date.available | 2017-06-15T23:07:06Z | |
dc.date.created | 2006-04-05 | |
dc.date.issued | 2006-03-30 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4604 | |
dc.description.abstract | 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 convex domain. In the context of a Brownian diffusion model, we provide a PDE characterization of the super-hedging price. This extends the result of Broadie, Cvitanic and Soner (1998) and Cvitanic, Pham and Touzi (1999) which was obtained for plain vanilla options, and provides a natural numerical procedure for computing the corresponding super-hedging price. As a by-product, we obtain a comparison theorem for a class of parabolic PDE with relaxed Dirichet conditions involving a constraint on the gradient. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | viscosity solutions | eng |
dc.subject | Super-replication | eng |
dc.subject | barrier options | eng |
dc.subject | portfolio constraints | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Barrier Option Hedging under Constraints | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-10062299 | |
dc.identifier.doi | http://dx.doi.org/10.18452/3952 | |
dc.subject.dnb | 17 Wirtschaft | |
local.edoc.pages | 42 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2006 | |
dc.title.subtitle | A Viscosity Approach | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2006,22 |