REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS

DOI10.1142/S0219024901001061zbMath1153.91445OpenAlexW2051732597MaRDI QIDQ3523581

Jiong-min Yong

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901001061

zbMATH Keywords

BSDEAmerican contingent claimhedgeabilityreplicatability

Mathematics Subject Classification ID

Trade models (91B60) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adapted solution of a backward stochastic differential equation
• On the pricing of American options
• Backward stochastic differential equations with constraints on the gains-process
• Hedging contingent claims with constrained portfolios
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Synthetic replication of American contingent claims when portfolios are constrained
• European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio
• Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios
• Backward Stochastic Differential Equations in Finance
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

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