Top-level heading

A numerical approximation for a superreplication problem under gamma constraints

Categoria: 
Seminari di Modellistica Differenziale Numerica
Data e ora inizio evento: 
Data e ora fine evento: 
Aula: 
Sala di Consiglio
Sede: 

Dipartimento di Matematica Guido Castelnuovo, Università Sapienza Roma

Speaker: 

H. Zidani, ENSTA/INRIA

We study a super-replication problem of European options with gamma constraints. The initially unbounded control problem is set back to a problem involving a second order Hamilton-Jacobi (HJB) equation with a set of bounded controls. The HJB equation is of a non-standard form and is not purely parabolic. We introduce a numerical approach based on the generalized finite differences scheme and give a convergence result for our approach.