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Hedging under gamma constraints by optimal stopping and face-lifting
H. Mete Soner
, Nizar Touzi
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peer-review
5
Scopus citations
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Business & Economics
Optimal Stopping
Hedging Strategies
Hedging
Superhedging
Superreplication
Optimal Stopping Problem
Black-Scholes
Upper Bound
Optimal Strategy
Lower Bounds
Characterization
Costs
Mathematics
Hedging
Optimal Stopping
Face
Strategy
Superreplication
Bound Constraints
Black-Scholes
Optimal Stopping Problem
Optimal Strategy
Costs
Lower bound
Upper bound
Imply
Context
Characterization
Model
Engineering & Materials Science
Costs
Social Sciences
costs