The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices * (Q4526200)

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scientific article; zbMATH DE number 1553369
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The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices *
scientific article; zbMATH DE number 1553369

    Statements

    The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices * (English)
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    22 September 2002
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    contingent claims
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    dynamic programming
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    incomplete markets
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    numerical solutions
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    reservation prices
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