The multi-dimensional super-replication problem under gamma constraints

Cheridito, Patrick ; Soner, H. Mete ; Touzi, Nizar

Annales de l'I.H.P. Analyse non linéaire, Tome 22 (2005) no. 5, pp. 633-666.

DOI : 10.1016/j.anihpc.2004.10.012

@article{AIHPC_2005__22_5_633_0,
     author = {Cheridito, Patrick and Soner, H. Mete and Touzi, Nizar},
     title = {The multi-dimensional super-replication problem under gamma constraints},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
     pages = {633--666},
     publisher = {Elsevier},
     volume = {22},
     number = {5},
     year = {2005},
     doi = {10.1016/j.anihpc.2004.10.012},
     mrnumber = {2171995},
     zbl = {1078.91010},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.anihpc.2004.10.012/}
}

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Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar. The multi-dimensional super-replication problem under gamma constraints. Annales de l'I.H.P. Analyse non linéaire, Tome 22 (2005) no. 5, pp. 633-666. doi : 10.1016/j.anihpc.2004.10.012. http://www.numdam.org/articles/10.1016/j.anihpc.2004.10.012/

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