Pricing and hedging of american contingent claims in incomplete markets

DOI10.1007/BF02720489MaRDI QIDQ1806063zbMATH OpenOpenAlexFDO

Authors Guilan Wang

Publication date 1 November 1999

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02720489

zbMATH Keywords

American contingent claimsfictitious completionhedgingincomplete marketnumeraire methodpricingprobability measure

Mathematics Subject Classification ID

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Cites work

• A Martingale Representation Result and an Application to Incomplete Financial Markets
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Hedging contingent claims with constrained portfolios
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• scientific article; zbMATH DE number 481040 (Why is no real title available?)
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• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On the pricing of American options
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimization Problems in the Theory of Continuous Trading
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Pricing stock and bond derivatives with a multi-factor Gaussian model
• The pricing of options and corporate liabilities

Cited in

(20)

• Hedging American options in Merton's model: A locally risk minimizing approach
• Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
• Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
• Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
• Pricing derivatives of American and game type in incomplete markets
• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
• A numerical study of the utility-indifference approach for pricing American options
• Pricing early exercise contracts in incomplete markets
• Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
• Pricing of American contingent claims with jump stock price and constrained portfolios
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• Pricing American contingent claims by stochastic linear programming
• REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• The range of American contingent claims prices in the jump-diffusion model
• scientific article; zbMATH DE number 27698 (Why is no real title available?)
• An integer programming model for pricing American contingent claims under transaction costs
• scientific article; zbMATH DE number 1145361 (Why is no real title available?)
• Bounds for the range of American contingent claim prices in the jump-diffusion model
• scientific article; zbMATH DE number 5584522 (Why is no real title available?)
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences

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