Optimal control of option portfolios and applications

DOI10.1007/S002910050084zbMath0916.90021OpenAlexW3122990263MaRDI QIDQ1283714

Siegfried Trautmann, Ralf Korn

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050084

zbMATH Keywords

option pricingcomplete marketstrading constraintsportfolio optimisationcontinuous trading

Mathematics Subject Classification ID

Related Items (7)

Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH ⋮ Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer ⋮ Options strategies with the risk adjustment ⋮ Optimal portfolios: new variations of an old theme ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk

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