Optimal superhedging under non-convex constraints : a BSDE approach
Year of publication: |
2008
|
---|---|
Authors: | Bender, Christian ; Kohlmann, Michael |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 11.2008, 4, p. 363-380
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Hedging | Monte-Carlo-Simulation | Monte Carlo simulation |
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