Generalized stochastic target problems for pricing and partial hedging under loss constraints-application in optimal book liquidation

Finance and Stochastics

Volumn 17, Issue 1, 2013, Pages 31-72

  Bouchard, Bruno ^a,b   Dang, Ngoc Minh ^a,c  

^a UNIVERSITÉ PARIS DAUPHINE   (France)

^b CREST   (France)

^c CA Cheuvreux   (France)

Author keywords

Book liquidation; Pricing under risk constraint; State constraints; Stochastic target problems

Indexed keywords

EID: 84871399603     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-012-0198-8     Document Type: Article

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