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Issue ESAIM: Proc.
Volume 21, 2007
Journées d'analyse fonctionnelle et numérique en l'honneur de Michel Crouzeix
Page(s) 21 - 30
DOI http://dx.doi.org/10.1051/proc:072103
Published online 04 December 2007

ESAIM: Proc., 2007, Vol. 21, pp. 21-30
DOI: 10.1051/proc:072103

Analysis of an $\epsilon $-arbitrage model for incomplete markets

Marie-Noelle Le Roux

LaBAG,Laboratoire Bordelais d'Analyse et Géométrie, UMR 5467, Université Bordeaux1, 33405 Talence Cedex, France


(... / Published online: 4 December 2007)

Abstract
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.


Résumé
La stratégie optimale de réplication pour les marchés incomplets est obtenue par la résolution d'un système d'équations aux dérivées partielles. Dans cet article, on étudie l'existence et l'unicité de la solution de ce système et on propose une méthode numérique pour calculer cette stratégie optimale.


Mathematics Subject Classification. ???, ???

Key words: finance, parabolic problem


© EDP Sciences, ESAIM 2007


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