Super-replication in stochastic volatility models under portfolio constraints

• 1 June 1999
• journal article
• Published by Cambridge University Press (CUP)
• Vol. 36  (2) , 523-545
• https://doi.org/10.1239/jap/1029349827

Abstract

Keywords

• STOCHASTIC VOLATILITY
• PORTFOLIO CONSTRAINTS
• HEDGING OPTIONS
• VISCOSITY SOLUTION