Hedging American contingent claims with arbitrage costs

DOI10.1016/J.CHAOS.2005.11.007zbMATH Open1133.91405OpenAlexW1991258848MaRDI QIDQ2482406FDOQ2482406

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

Recommendations

• Hedging American contingent claims with constrained portfolios under proportional transaction costs
• scientific article; zbMATH DE number 5002006
• Arbitrage-free interval of American contingent claims under proportional transaction cost
• The arbitrage-free interval of American contingent claims with frictions
• On the upper hedging price of contingent claims

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• On the theory of option pricing
• On the pricing of American options
• Hedging American contingent claims with constrained portfolios
• Hedging American contingent claims with constrained portfolios under proportional transaction costs

Cited In (5)

• Title not available (Why is that?)
• 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

This page was built for publication: Hedging American contingent claims with arbitrage costs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2482406)