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dc.contributor.authorChassagneux, Jean-François
dc.contributor.authorElie, Romuald
dc.contributor.authorKharroubi, Idris
dc.date.accessioned2015-04-07T11:44:46Z
dc.date.available2015-04-07T11:44:46Z
dc.date.issued2015
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14892
dc.language.isoenen
dc.subjectSuperreplicationen
dc.subjectPortfolio constraintsen
dc.subjectViabilityen
dc.subjectFaceliften
dc.subjectBSDEsen
dc.subject.ddc519en
dc.titleWhen terminal facelift enforces delta constraintsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper deals with the superreplication of non-path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding superreplication price of a given claim has been widely studied in the literature, and its terminal value, which dominates the claim of interest, is the so-called facelift transform of the claim. We investigate under which conditions the superreplication price and strategy of a large class of claims coincide with the exact replication price and strategy of the facelift transform of this claim. In one dimension, we observe that this property is satisfied for any local volatility model. In any dimension, we exhibit an analytical necessary and sufficient condition for this property, which combines the dynamics of the stock together with the characteristics of the closed convex set of constraints. To obtain this condition, we introduce the notion of first order viability property for linear parabolic PDEs. We investigate in detail several practical cases of interest: multidimensional Black–Scholes model, non-tradable assets, and short-selling restrictions.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol19en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages329-362en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-015-0260-4en
dc.identifier.urlsitehttp://arxiv.org/abs/1307.6020v1en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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