Super-Replication Under Gamma Constraints

H.M. Soner and N. Touzi

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general Markov diffusion case, we prove a verification Theorem which characterizes the super-replication cost as the solution of a quasi variational inequality.

Keywords: FINANCIAL MARKET; RISK; COSTS (search for similar items in EconPapers)
JEL-codes: C61 G00 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1999
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999.85

Access Statistics for this paper

More papers in Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1) France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().