The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices *

DOI10.1023/A:1009856830088zbMath0993.91015OpenAlexW3122147159MaRDI QIDQ4526200

Claus Munk

Publication date: 22 September 2002

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009856830088

zbMATH Keywords

dynamic programmingincomplete marketsnumerical solutionscontingent claimsreservation prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39) Optimal stochastic control (93E20) Portfolio theory (91G10)

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