Super-replication under Gamma constraint (1998) [6 citations — 2 self]
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by H. Mete Soner, Nizar Touzi
SIAM J.Control and Opt
http://www.princeton.edu/~soner/gammafinal.pdf
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Abstract:
1 We gratefully acknowledge conversations with Professor F. Delbaen � in particular he has provided us with the key idea in the proof of Lemma 11.5. 2
Citations
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| 12 | Optimal Replication of Contingent Claims under Portfolio Constraints – Broadie, Cvitanić, et al. - 1998 |
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