Optimal superhedging under nonconvex constraints -- A BSDE approach
- Bender, Christian
- Kohlmann, Michael
2010 Mathematics Subject Classification
- 91B28 91B24 93E20 60H10
- BSDE, Constraints, Penalization, Superhedging
We apply theoretical results of S. Peng on supersolutions for BSDEs to the problem of finding optimal superhedging strategies in a Black-Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be nonconvex, time-dependent, and random. Constraints on the portfolio may e.g. be formulated in terms of the amount of money invested, the portfolio proportion, or the number of shares held.
- Int. J. Theor. Appl. Finance, 11 pp. 363--380.