On the super-replicating approach when trading a derivative is limited

DOI10.1080/14697680701458018zbMath1134.91375OpenAlexW2023530508MaRDI QIDQ3502189

Sergei Isaenko

Publication date: 22 May 2008

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

Full work available at URL: https://doi.org/10.1080/14697680701458018

zbMATH Keywords

asset pricingrisk managementderivatives hedgingderivative pricing models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Hedging contingent claims with constrained portfolios
• A general version of the fundamental theorem of asset pricing
• Optional decompositions under constraints
• Hedging American contingent claims with constrained portfolios
• On the pricing of contingent claims under constraints
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Quantile hedging
• A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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