Super-replication in Stochastic Volatility Models under Portfolio Constraints

@inproceedings{Cvitani1997SuperreplicationIS,
  title={Super-replication in Stochastic Volatility Models under Portfolio Constraints},
  author={Jak Sa Cvitani and Huy En Pham and Nizar Touzi},
  year={1997}
}
We study a nancial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on borrowing and short-selling of a \hedger" in this market, and described by a closed convex set K. We nd explicit characterizations of the minimal price needed to super-replicate European type contingent claims in this framework. The results depend on whether the volatility is bounded away from zero and/or innnity or not, and… CONTINUE READING
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