Optimal superhedging under non-convex constraints - a BSDE approach
Optimal superhedging under non-convex constraints - a BSDE approach
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Date
2008
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Bender, Christian
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International Journal Of Theoretical Applied Finance ; 11 (2008), 4. - pp. 363-380
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510 Mathematics
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BENDER, Christian, Michael KOHLMANN, 2008. Optimal superhedging under non-convex constraints - a BSDE approach. In: International Journal Of Theoretical Applied Finance. 11(4), pp. 363-380. Available under: doi: 10.1142/S0219024908004841BibTex
@article{Bender2008Optim-828, year={2008}, doi={10.1142/S0219024908004841}, title={Optimal superhedging under non-convex constraints - a BSDE approach}, number={4}, volume={11}, journal={International Journal Of Theoretical Applied Finance}, pages={363--380}, author={Bender, Christian and Kohlmann, Michael} }
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