Pricing and hedging option under portfolio constrained (Q5957117)
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scientific article; zbMATH DE number 1714222
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging option under portfolio constrained |
scientific article; zbMATH DE number 1714222 |
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Pricing and hedging option under portfolio constrained (English)
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25 September 2002
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The convex analysis and stochastic control theory are applied to study the problem of hedging contingent claims with portfolio constrained to take values in a given closed and convex set of \(\mathbb R^n\), \(n \in \mathbb N\). The previous results in discrete-time case are generalized to the incomplete market model with portfolio constraints. Results similar to those of corresponding continuous-time models are obtained.
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stochastic control
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super-replication
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portfolio constraints
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