Keyword: Gamma Constraints : Search

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articleNo Access
NUMERICAL SOLUTIONS FOR THE CHERIDITO-SONER-TOUZI SUPER-REPLICATION MODEL UNDER GAMMA CONSTRAINTS
- AGNÈS TOURIN
International Journal of Theoretical and Applied Finance01 May 2006
Preview 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.

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