Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints
- 1 August 2000
- journal article
- Published by Elsevier in Stochastic Processes and their Applications
- Vol. 88 (2) , 305-328
- https://doi.org/10.1016/s0304-4149(00)00007-7
Abstract
No abstract availableKeywords
This publication has 10 references indexed in Scilit:
- Super-replication in stochastic volatility models under portfolio constraintsJournal of Applied Probability, 1999
- Optimal Replication of Contingent Claims under Portfolio ConstraintsThe Review of Financial Studies, 1998
- Optional decompositions under constraintsProbability Theory and Related Fields, 1997
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTSMathematical Finance, 1995
- Pricing and hedging derivative securities in markets with uncertain volatilitiesApplied Mathematical Finance, 1995
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete MarketSIAM Journal on Control and Optimization, 1995
- Hedging Contingent Claims with Constrained PortfoliosThe Annals of Applied Probability, 1993
- User’s guide to viscosity solutions of second order partial differential equationsBulletin of the American Mathematical Society, 1992
- Option values under stochastic volatility: Theory and empirical estimatesJournal of Financial Economics, 1987
- The Pricing of Options on Assets with Stochastic VolatilitiesThe Journal of Finance, 1987