Synthetic replication of American contingent claims when portfolios are constrained (Q1890718): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4149(94)00067-4
+Normal rank
@@ Property / OpenAlex ID @@
+W2007661317
@@ Property / OpenAlex ID: W2007661317 / rank @@
+Normal rank
@@ Property / cites work @@
+Convex duality in constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+Hedging contingent claims with constrained portfolios
+Normal rank
@@ Property / cites work @@
+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
+Normal rank
@@ Property / cites work @@
+On the pricing of American options
@@ Property / cites work: On the pricing of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization Problems in the Theory of Continuous Trading
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1890718