Hedging Contingent Claims with Constrained Portfolios
Cvitanic, Jaksa ; Karatzas, Ioannis
Ann. Appl. Probab., Tome 3 (1993) no. 4, p. 652-681 / Harvested from Project Euclid
We employ a stochastic control approach to study the question of hedging contingent claims by portfolios constrained to take values in a given closed, convex subset of $\mathscr{R}^d$. In the framework of our earlier work for utility maximization with constrained portfolios, we extend results of El Karoui and Quenez on incomplete markets and treat the case of different interest rates for borrowing and lending.
Publié le : 1993-08-14
Classification:  Constrained portfolios,  stochastic control,  martingale representations,  hedging claims,  equivalent martingale measures,  option pricing,  Black and Scholes formula,  93E20,  90A09,  60H30,  60G44,  90A16
@article{1177005357,
     author = {Cvitanic, Jaksa and Karatzas, Ioannis},
     title = {Hedging Contingent Claims with Constrained Portfolios},
     journal = {Ann. Appl. Probab.},
     volume = {3},
     number = {4},
     year = {1993},
     pages = { 652-681},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177005357}
}
Cvitanic, Jaksa; Karatzas, Ioannis. Hedging Contingent Claims with Constrained Portfolios. Ann. Appl. Probab., Tome 3 (1993) no. 4, pp.  652-681. http://gdmltest.u-ga.fr/item/1177005357/