Synthetic replication of American contingent claims when portfolios are constrained

DOI10.1016/0304-4149(94)00067-4zbMath0834.90017OpenAlexW2007661317MaRDI QIDQ1890718

Indrajit Bardhan

Publication date: 23 May 1995

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(94)00067-4

zbMATH Keywords

American contingent claimconstrained portfolio policiessynthetic replication

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (4)

Superhedging under ratio constraint ⋮ REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS ⋮ Consumption and investment under constraints ⋮ Consumption and investment under constraints

Cites Work

• Unnamed Item
• On the pricing of American options
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• Convex duality in constrained portfolio optimization
• Hedging contingent claims with constrained portfolios
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimization Problems in the Theory of Continuous Trading
• OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS

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