Data e ora inizio evento:
Data e ora fine evento:
Sede:
Dipartimento di Matematica Guido Castelnuovo, Università Sapienza Roma
Aula:
Sala di Consiglio
Speaker ed affiliazione:
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.