Valuation of exotic options under shortselling constraints

DOI10.1007/s007800100050zbMath1002.91021OpenAlexW2128350654MaRDI QIDQ1849790

Uwe Wystup, Steven E. Shreve, Uwe Schmock

Publication date: 1 December 2002

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800100050

zbMATH Keywords

super-replicationexotic optionsshortselling constraintsupper hedging price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Superhedging under ratio constraint ⋮ The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints ⋮ Facelifting in utility maximization

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