Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation
Bouchard , Bruno; Dang , Ngoc Minh;
Publisher: Springer Verlag (Germany)
Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | 49L25, 60J60; 49L20, 35K55 | Book liquidation | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | Stochastic target problems | State constraints | Pricing under risk constraint | Book liquidation.
International audience; We consider a singular with state constraints version of the stochastic target problems studied in Soner and Touzi (2002) and more recently Bouchard, Elie and Touzi (2008), among others. This provides a general framework for the pricing of contin... View more
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