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• W1939092666 abstract "In this paper, we consider the problem of super-replication under portfolio constraints in a Markov framework. More specifically, we assume that the portfolio is restricted to lie in a convex subset, and we show that the super-replication value is the smallest function which lies above the Black-Scholes price function and which is stable for the so-called face lifting operator. A natural approach to this problem is the penalty approximation, which not only provides a constructive smooth approximation, but also a way to proceed analytically." @default.
• W1939092666 created "2016-06-24" @default.
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• W1939092666 date "2005-01-01" @default.
• W1939092666 modified "2023-10-18" @default.
• W1939092666 title "Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints" @default.
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• W1939092666 hasPublicationYear "2005" @default.
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