Hedging American contingent claims with constrained portfolios under proportional transaction costs

DOI10.1016/J.CHAOS.2004.05.019zbMath1102.91060OpenAlexW2087831679MaRDI QIDQ1776603

Qingxin Meng, Bo Wang

Publication date: 12 May 2005

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

Full work available at URL: https://doi.org/10.1016/j.chaos.2004.05.019

Mathematics Subject Classification ID

Related Items (3)

The application of backward stochastic differential equation with stopping time in hedging American contingent claims ⋮ Hedging American contingent claims with arbitrage costs ⋮ On the pricing of American contingent claims under transaction costs and multiple risky assets

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Convex duality in constrained portfolio optimization
• Hedging American contingent claims with constrained portfolios
• On the Pricing of Contingent Claims with Frictions
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²

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