BENDER, CHRISTIAN; KOHLMANN, MICHAEL - In: International Journal of Theoretical and Applied … 11 (2008) 04, pp. 363-380
We apply theoretical results by Peng on supersolutions for Backward SDEs (BSDEs) to the problem of finding optimal superhedging strategies in a generalized Black–Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be non-convex,...