Hedging American contingent claims with constrained portfolios

DOI10.1007/s007800050039zbMath0904.90012OpenAlexW2117838481MaRDI QIDQ1387767

Ioannis Karatzas, S. G. Kou

Publication date: 8 June 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/42331

zbMATH Keywords

optimal stoppinghedgingstochastic controlincomplete marketsstochastic gamesarbitragecontingent claimsconvex analysispricingBlack-Scholes formulamartingale theoryconstrained marketsAmerican call-optionconstraints on portfolio choicesimultaneous Doob-Meyer decompositions

Mathematics Subject Classification ID

Utility theory (91B16) Economic growth models (91B62) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Duality theory (optimization) (49N15)

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