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2006-03-30Diskussionspapier DOI: 10.18452/3952
Barrier Option Hedging under Constraints
dc.contributor.authorBentahar, Imen
dc.contributor.authorBouchard, Bruno
dc.date.accessioned2017-06-15T23:07:06Z
dc.date.available2017-06-15T23:07:06Z
dc.date.created2006-04-05
dc.date.issued2006-03-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4604
dc.description.abstractWe 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectviscosity solutionseng
dc.subjectSuper-replicationeng
dc.subjectbarrier optionseng
dc.subjectportfolio constraintseng
dc.subject.ddc330 Wirtschaft
dc.titleBarrier Option Hedging under Constraints
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10062299
dc.identifier.doihttp://dx.doi.org/10.18452/3952
dc.subject.dnb17 Wirtschaft
local.edoc.pages42
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2006
dc.title.subtitleA Viscosity Approach
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2006,22

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