European-type contingent claims in an incomplete market with constrained wealth and portfolio (Q2757310)
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scientific article; zbMATH DE number 1676824
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | European-type contingent claims in an incomplete market with constrained wealth and portfolio |
scientific article; zbMATH DE number 1676824 |
Statements
26 November 2001
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option pricing
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incomplete markets
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contingent claim
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continuous incomplete model of trading
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replicating portfolio
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European-type contingent claims in an incomplete market with constrained wealth and portfolio (English)
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The main purpose of this paper is to study general conditions for a contingent claim in a continuous incomplete model of trading to be hedgeable (in general, in a non unique way) when there are restrictions on short selling of assets and when it is required that the value of the replicating portfolio is always nonnegative.
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