Bentahar, Imen; Bouchard, Bruno - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
SFB 649 Discussion Paper 2006-022
Barrier Option Hedging
under Constraints:
A Viscosity …
B
E
R
L
I
N
Barrier option hedging under constraints: a viscosity
approach
Imen Bentahar∗
TU Berlin … the gradient.
Key words : Super-replication, barrier options, portfolio constraints, viscosity solu-
tions.
MSC …