scientific article; zbMATH DE number 5584522

MaRDI QIDQ5320117zbMATH OpenFDO

Authors Qingxin Meng, LanJun Lao, Xuelei Zhao

Publication date 22 July 2009

zbMATH Keywords

contingent claimsDoob-Meyer decompositionequivalent martingale measurefrictional marketshedging

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Recommendations

• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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• The arbitrage-free interval of American contingent claims with frictions
• Pricing and hedging of american contingent claims in incomplete markets
• On the pricing of American contingent claims under transaction costs and multiple risky assets
• Cost-efficient contingent claims with market frictions
• Pricing American contingent claims by stochastic linear programming
• Pricing of American contingent claims with jump stock price and constrained portfolios

Cited in

(9)

• Hedging American contingent claims with constrained portfolios
• Synthetic replication of American contingent claims when portfolios are constrained
• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
• On the pricing of American contingent claims under transaction costs and multiple risky assets
• On the pricing of contingent claims with frictions.
• Pricing of American contingent claims with jump stock price and constrained portfolios
• Pricing American contingent claims by stochastic linear programming
• An integer programming model for pricing American contingent claims under transaction costs
• The arbitrage-free interval of American contingent claims with frictions

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