Optimal superhedging under non-convex constraints - a BSDE approach

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2008
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Bender, Christian
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urn:nbn:de:bsz:352-opus-95723
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10.1142/S0219024908004841
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Mathematik und Statistik
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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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ISO 690BENDER, 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/S0219024908004841
BibTex
@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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