Dominique Pujal (S.D.F. C.R.V.J.C. University Paris Dauphine) Patrick Saint-Pierre () (S.D.F. C.R.V.J.C. University Paris Dauphine)
Abstract
One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the payoff function at maturity time, and the constraints appear when one want to take into account limitations on prices and quantities to share. Moreover, extension of Viability Theory to hybrid or impulse systems allows to evaluate more complex financial instruments.
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Find related papers by JEL classification: C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data) G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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