Numerical approximation for a superreplication problem under gamma constraints

Olivier Bokanowski, Benjamin Bruder, Stefania Maroso and
Hasnaa Zidani

2009

Publication type:

Paper in peer-reviewed journals

Journal:

SIAM. J. of Num. Analysis., vol. 47(3), pp. 2289-2320

DOI:

10.1137/080725222

HAL:

hal-00278077

BibTeX:

@article{Bok-Bru-Mar-Zid-2009,
    author={Olivier Bokanowski and Benjamin Bruder and Stefania Maroso and 
           Hasnaa Zidani },
    title={Numerical approximation for a superreplication problem under 
           gamma constraints },
    doi={10.1137/080725222 },
    journal={SIAM. J. of Num. Analysis. },
    year={2009 },
    volume={47(3) },
    pages={2289--2320},
}