Hedging contingent claims with constrained portfolios

DOI10.1214/aoap/1177005357zbMath0825.93958OpenAlexW2086565819MaRDI QIDQ1308695

Publication date: 2 January 1994

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177005357

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items

A dynamic maximum principle for the optimization of recursive utilities under constraints., Optimal portfolio in partially observed stochastic volatility models., Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation, Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints., Conservative delta hedging., An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach, Optimal reinsurance/investment problems for general insurance models, Efficient frontier of utility and CVaR, Optimization of Utility for “Larger Investor” with Anticipation, Synthetic replication of American contingent claims when portfolios are constrained, Robust pricing and hedging under trading restrictions and the emergence of local martingale models, Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations, An optimal consumption-investment model with constraint on consumption, A BSDE approach to fair bilateral pricing under endogenous collateralization, Counterparty risk and funding: immersion and beyond, Endogenous collateral, Value preserving portfolio strategies in continuous-time models, Convergence of utility indifference prices to the superreplication price, On martingale measures when asset returns have unpredictable jumps, Superhedging under ratio constraint, A consumption-investment model with state-dependent lower bound constraint on consumption, Supermartingale decomposition theorem under \(G\)-expectation, Approximation pricing and the variance-optimal martingale measure, Optimal consumption choices for a `large' investor, On the super-replicating approach when trading a derivative is limited, Optimal make–take fees for market making regulation, Minimal supersolutions of convex BSDEs under constraints, Contingent claim valuation in a market with different interest rates, Numerical methods for backward stochastic differential equations: a survey, Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus, Capital Growth and Survival Strategies in a Market with Endogenous Prices, On Z-mean reflected BSDEs, Game Options in an Imperfect Market with Default, Reflected BSDE with a constraint and its applications in an incomplete market, ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES, REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS, A convex duality approach for pricing contingent claims under partial information and short selling constraints, Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions, An overview of the valuation of collateralized derivative contracts, Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation., Consumption and investment under constraints, Utility maximization with habit formation of interaction, Game approach to the optimal stopping problem†, A consumption-investment problem with constraints on minimum and maximum consumption rates, Near-optimal asset allocation in financial markets with trading constraints, A convolution method for numerical solution of backward stochastic differential equations, Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization, Yan theorem in \(L^{\infty}\) with applications to asset pricing, The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints, Rational expectations models: An approach using forward-backward stochastic differential equations, Event risk, contingent claims and the temporal resolution of uncertainty, Arbitrage and viability in securities markets with fixed trading costs, Probabilistic methods for semilinear partial differential equations. Applications to finance, Pricing issues with investment flows. Applications to market models with frictions, Portfolio optimization under the Value-at-Risk constraint, Cooperative hedging with a higher interest rate for borrowing, Optimal exercise of executive stock options, Portfolio optimization of credit swap under funding costs, Pricing and hedging of american contingent claims in incomplete markets, On the pricing of contingent claims under constraints, Hedging options for a large investor and forward-backward SDE's, Sublinear price functionals under portfolio constraints, Exact Superreplication Strategies for a Class of Derivative Assets, Combining statistical intervals and market prices: the worst case state price distribution, On the construction of optimal payoffs, Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing, Risk-neutral pricing for arbitrage pricing theory, The European option with hereditary price structures, Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk, THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS, A PRINCIPAL–AGENT APPROACH TO CAPACITY REMUNERATION MECHANISMS, Smallest \(g\)-supersolution with constraint, The multi-dimensional super-replication problem under gamma constraints, When terminal facelift enforces delta constraints, On infinite-horizon minimum-cost hedging under cone constraints, Backward stochastic differential equations with constraints on the gains-process, Model-independent superhedging under portfolio constraints, Superreplication when trading at market indifference prices