Geodesic
Analysis of an ϵ-arbitrage model for incomplete markets
Marie-Noelle Le Roux1
1 LaBAG,Laboratoire Bordelais d'Analyse et Géométrie, UMR 5467, Université Bordeaux1, 33405 Talence Cedex, France
ESAIM. Proceedings, Tome 21 (2007), pp. 21-30.

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The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution of this system and propose a numerical method to compute this optimal strategy.
DOI : 10.1051/proc:072103

Marie-Noelle Le Roux 1

1 LaBAG,Laboratoire Bordelais d'Analyse et Géométrie, UMR 5467, Université Bordeaux1, 33405 Talence Cedex, France 
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Marie-Noelle Le Roux. Analysis of an ϵ-arbitrage model for incomplete markets. ESAIM. Proceedings, Tome 21 (2007), pp. 21-30. doi : 10.1051/proc:072103. http://geodesic.mathdoc.fr/articles/10.1051/proc:072103/

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