Pages that link to "Item:Q1308695"

The following pages link to Hedging contingent claims with constrained portfolios (Q1308695):

Displayed 50 items.

• Model-independent superhedging under portfolio constraints (Q261914) ‎ (← links)
• Superreplication when trading at market indifference prices (Q261922) ‎ (← links)
• Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) ‎ (← links)
• An optimal consumption-investment model with constraint on consumption (Q326805) ‎ (← links)
• A BSDE approach to fair bilateral pricing under endogenous collateralization (Q331356) ‎ (← links)
• Counterparty risk and funding: immersion and beyond (Q331358) ‎ (← links)
• An overview of the valuation of collateralized derivative contracts (Q475330) ‎ (← links)
• A convolution method for numerical solution of backward stochastic differential equations (Q518855) ‎ (← links)
• Reflected BSDE with a constraint and its applications in an incomplete market (Q637071) ‎ (← links)
• On the construction of optimal payoffs (Q777925) ‎ (← links)
• Risk-neutral pricing for arbitrage pricing theory (Q779871) ‎ (← links)
• Optimal reinsurance/investment problems for general insurance models (Q835068) ‎ (← links)
• Efficient frontier of utility and CVaR (Q836867) ‎ (← links)
• Convergence of utility indifference prices to the superreplication price (Q857825) ‎ (← links)
• Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization (Q956490) ‎ (← links)
• The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746) ‎ (← links)
• Cooperative hedging with a higher interest rate for borrowing (Q998275) ‎ (← links)
• Optimal exercise of executive stock options (Q1003338) ‎ (← links)
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk (Q1045982) ‎ (← links)
• Optimal consumption choices for a `large' investor (Q1128528) ‎ (← links)
• The European option with hereditary price structures (Q1294213) ‎ (← links)
• Backward stochastic differential equations with constraints on the gains-process (Q1307453) ‎ (← links)
• Value preserving portfolio strategies in continuous-time models (Q1360868) ‎ (← links)
• On martingale measures when asset returns have unpredictable jumps (Q1363465) ‎ (← links)
• Sublinear price functionals under portfolio constraints (Q1567183) ‎ (← links)
• Smallest \(g\)-supersolution with constraint (Q1589807) ‎ (← links)
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) ‎ (← links)
• Superhedging under ratio constraint (Q1657512) ‎ (← links)
• Supermartingale decomposition theorem under \(G\)-expectation (Q1663870) ‎ (← links)
• A consumption-investment problem with constraints on minimum and maximum consumption rates (Q1743955) ‎ (← links)
• Pricing and hedging of american contingent claims in incomplete markets (Q1806063) ‎ (← links)
• On the pricing of contingent claims under constraints (Q1814741) ‎ (← links)
• Hedging options for a large investor and forward-backward SDE's (Q1814742) ‎ (← links)
• On infinite-horizon minimum-cost hedging under cone constraints (Q1853196) ‎ (← links)
• A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) ‎ (← links)
• Optimal portfolio in partially observed stochastic volatility models. (Q1872462) ‎ (← links)
• Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. (Q1877518) ‎ (← links)
• Conservative delta hedging. (Q1884835) ‎ (← links)
• Synthetic replication of American contingent claims when portfolios are constrained (Q1890718) ‎ (← links)
• Approximation pricing and the variance-optimal martingale measure (Q1922074) ‎ (← links)
• Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation. (Q1972341) ‎ (← links)
• Utility maximization with habit formation of interaction (Q1983703) ‎ (← links)
• Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) ‎ (← links)
• A consumption-investment model with state-dependent lower bound constraint on consumption (Q2166446) ‎ (← links)
• Near-optimal asset allocation in financial markets with trading constraints (Q2242286) ‎ (← links)
• Event risk, contingent claims and the temporal resolution of uncertainty (Q2257042) ‎ (← links)
• Portfolio optimization of credit swap under funding costs (Q2296104) ‎ (← links)
• Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) ‎ (← links)
• When terminal facelift enforces delta constraints (Q2339121) ‎ (← links)
• Endogenous collateral (Q2387402) ‎ (← links)