Name
Abstract | ||
|---|---|---|
We study a superreplication problem of European options with gamma constraints in mathematical finance. The initially unbounded control problem is set back to a problem involving a viscosity PDE solution with a set of bounded controls. Then a numerical approach is introduced, unconditionally stable with respect to the mesh steps. A generalized finite difference scheme is used since basic finite differences cannot work in our case. Numerical tests illustrate the validity of our approach. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1137/080725222 | SIAM J. Numerical Analysis |
Keywords | Field | DocType |
gen- eralized finite difference scheme,superreplication problem,basic finite difference,numerical approach,european option,gamma constraints,generalized finite difference scheme,viscosity solution,numerical approximation,gamma constraint,. super-replication problem,mathematical finance,bounded control,howard's algorithm,monotone scheme,numerical test,unbounded control problem,finite difference | Mathematical optimization,Mathematical finance,Mathematical analysis,Finite difference,Finite difference method,Numerical approximation,Numerical analysis,Viscosity solution,Partial differential equation,Mathematics,Bounded function | Journal |
Volume | Issue | ISSN |
47 | 3 | 0036-1429 |
Citations | PageRank | References |
3 | 0.65 | 4 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Olivier Bokanowski | 1 | 98 | 12.07 |
| Benjamin Bruder | 2 | 3 | 0.65 |
| Stefania Maroso | 3 | 25 | 2.18 |
| Hasnaa Zidani | 4 | 101 | 17.27 |