Hedging American contingent claims with constrained portfolios
type: Item
instance of: scholarly article
title: Hedging American contingent claims with constrained portfolios
zbMATH Open document ID: 0904.90012
author: Ioannis Karatzas
author: S. G. Kou
published in: Finance and Stochastics
publication date: 1998-06-08T00:00:00Z
full work available at URL: http://hdl.handle.net/2027.42/42331
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 49N15
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 1160486
zbMATH Keywords: contingent claims
zbMATH Keywords: hedging
zbMATH Keywords: pricing
zbMATH Keywords: arbitrage
zbMATH Keywords: constrained markets
zbMATH Keywords: incomplete markets
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: constraints on portfolio choice
zbMATH Keywords: American call-option
zbMATH Keywords: martingale theory
zbMATH Keywords: simultaneous Doob-Meyer decompositions
zbMATH Keywords: optimal stopping
zbMATH Keywords: stochastic control
zbMATH Keywords: stochastic games
zbMATH Keywords: convex analysis
MaRDI profile type: Publication
OpenAlex ID: W2117838481
DOI: 10.1007/S007800050039
description: scientific article; zbMATH DE number 1160486