Hedging American contingent claims with arbitrage costs

DOI10.1016/J.CHAOS.2005.11.007MaRDI QIDQ2482406zbMATH OpenOpenAlexFDO

Authors Bo Wang, Qingxin Meng

Publication date 16 April 2008

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2005.11.007

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3583004 (Why is no real title available?)
• Backward Stochastic Differential Equations in Finance
• Hedging American contingent claims with constrained portfolios
• Hedging American contingent claims with constrained portfolios under proportional transaction costs
• On the pricing of American options
• On the theory of option pricing

Cited in

(5)

• scientific article; zbMATH DE number 5002006 (Why is no real title available?)
• The application of backward stochastic differential equation with stopping time in hedging American contingent claims
• Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
• Hedging American contingent claims with constrained portfolios under proportional transaction costs
• On the upper hedging price of contingent claims

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