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

Agnès Tourin ()
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Agnès Tourin: Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, Ontario L8S 4K1, Canada

International Journal of Theoretical and Applied Finance (IJTAF), 2006, vol. 09, issue 03, 401-414

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: Nonlinear degenerate parabolic equation; stochastic control; finite difference; monotone approximation; viscosity solutions; super-replication problem; gamma constraints (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1142/S0219024906003561

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