Hedging Game Contingent Claims with Constrained Portfolios

DOI10.4208/aamm.09-m08h8zbMath1262.91048OpenAlexW2915345723WikidataQ128311692 ScholiaQ128311692MaRDI QIDQ4919247

Yan Xiao, Lei Wang

Publication date: 8 May 2013

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.09-m08h8

zbMATH Keywords

optimal stoppinghedgingfree boundarycontingent claimsgame option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Probabilistic games; gambling (91A60)

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