Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25105 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2006,022
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Super-replication
barrier options
portfolio constraints
viscosity solutions
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
516.46 kB





Publikationen in EconStor sind urheberrechtlich geschützt.