Pricing and hedging option under portfolio constrained

DOI10.1016/S0252-9602(17)30437-XzbMath0994.60082OpenAlexW2783953075MaRDI QIDQ5957117

Shi Ping Chen, Gang Wei

Publication date: 25 September 2002

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(17)30437-x

zbMATH Keywords

stochastic controlportfolio constraintssuper-replication

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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