Generalized stochastic target problems for pricing and partial hedging under loss constraints - Application in optimal book liquidation

View/ Open
Date
2013Dewey
Probabilités et mathématiques appliquéesSujet
Stochastic target problems; State constraints; Pricing under risk constraint; Book liquidationJournal issue
Finance and StochasticsVolume
17Number
1Publication date
2013Article pages
31-72Publisher
SpringerCollections
Metadata
Show full item recordAuthor
Bouchard, Bruno
Dang, Ngoc Minh