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NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS

AGNÈS TOURIN

Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, Ontario L8S 4K1, Canada

https://doi.org/10.1142/S0219024906003561Cited by:0 (Source: Crossref)

Abstract

We solve, by using a monotone and stable approximation, the fully nonlinear degenerate parabolic equation derived by Cheridito, Soner and Touzi [8] from the stochastic control problem of super-replicating a contingent claim under gamma constraints. We present some numerical results.

Keywords:

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