Pricing and hedging of american contingent claims in incomplete markets
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Publication:1806063
DOI10.1007/BF02720489zbMATH Open1006.91039OpenAlexW1986987830MaRDI QIDQ1806063FDOQ1806063
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
Recommendations
incomplete marketpricinghedgingprobability measureAmerican contingent claimsfictitious completionnumeraire method
Cites Work
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Cited In (16)
- Pricing derivatives of American and game type in incomplete markets
- Pricing American contingent claims by stochastic linear programming
- Title not available (Why is that?)
- Title not available (Why is that?)
- An integer programming model for pricing American contingent claims under transaction costs
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- Pricing early exercise contracts in incomplete markets
- REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- Bounds for the range of American contingent claim prices in the jump-diffusion model
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
- Pricing of American contingent claims with jump stock price and constrained portfolios
- Hedging American options in Merton's model: A locally risk minimizing approach
- Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
- The range of American contingent claims prices in the jump-diffusion model
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