Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing

DOI10.1016/j.chaos.2004.09.020zbMath1117.91034OpenAlexW2013479443MaRDI QIDQ1771800

Bo Wang, Qingxin Meng

Publication date: 18 April 2005

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2004.09.020

Mathematics Subject Classification ID

Related Items

Time-varying long-range dependence in US interest rates ⋮ Cooperative hedging with a higher interest rate for borrowing

Cites Work

• On the theory of option pricing
• On the pricing of American options
• Convex duality in constrained portfolio optimization
• Hedging American contingent claims with constrained portfolios