Synthetic replication of American contingent claims when portfolios are constrained

DOI10.1016/0304-4149(94)00067-4MaRDI QIDQ1890718zbMATH OpenOpenAlexFDO

Authors Indrajit Bardhan

Publication date 23 May 1995

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)00067-4

zbMATH Keywords

American contingent claimconstrained portfolio policiessynthetic replication

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Convex duality in constrained portfolio optimization
• Hedging contingent claims with constrained portfolios
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• On the pricing of American options
• OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
• Optimization Problems in the Theory of Continuous Trading

Cited in

(4)

• Superhedging under ratio constraint
• REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• Consumption and investment under constraints
• Consumption and investment under constraints

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