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SIAMCO
2000

Superreplication Under Gamma Constraints

13 years 3 months ago
Superreplication Under Gamma Constraints
In a financial market consisting of a nonrisky asset and a risky one, we study the minimal initial capital needed in order to superreplicate a given contingent claim under a gamma constraint. This is a constraint on the unbounded variation part of the hedging portfolio. We first consider the case in which the prices are given as general Markov diffusion processes and prove a verification theorem which characterizes the superreplication cost as the unique solution of a quasivariational inequality. In the context of the Black
H. Mete Soner, Nizar Touzi
Added 19 Dec 2010
Updated 19 Dec 2010
Type Journal
Year 2000
Where SIAMCO
Authors H. Mete Soner, Nizar Touzi
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