European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio

DOI10.1111/1467-9965.00076zbMath1014.91044OpenAlexW3125145784MaRDI QIDQ2757310

Jiong-min Yong

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00076

zbMATH Keywords

option pricingincomplete marketscontingent claimreplicating portfoliocontinuous incomplete model of trading

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (7)

Forward-backward stochastic differential equations with nonsmooth coefficients. ⋮ Jensen's inequality for \(g\)-convex function under \(g\)-expectation ⋮ OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH ⋮ REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS ⋮ Option pricing with an illiquid underlying asset market ⋮ Completeness of security markets and solvability of linear backward stochastic differential equations ⋮ Completeness of security markets and backward stochastic differential equations with unbounded coefficients

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