Hedging American contingent claims with constrained portfolios (Q1387767)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging American contingent claims with constrained portfolios |
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Hedging American contingent claims with constrained portfolios (English)
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8 June 1998
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contingent claims
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hedging
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pricing
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arbitrage
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constrained markets
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incomplete markets
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Black-Scholes formula
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constraints on portfolio choice
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American call-option
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martingale theory
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simultaneous Doob-Meyer decompositions
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optimal stopping
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stochastic control
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stochastic games
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convex analysis
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