Superhedging under ratio constraint

DOI10.1016/J.JEDC.2015.06.009MaRDI QIDQ1657512zbMATH OpenOpenAlexFDO

Authors Min Dai, Jing Xu, Mingyu Xu, Yingshan Chen

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2015.06.009

zbMATH Keywords

Asian optionEuropean optionratio constraintsuperhedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

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• Finite horizon optimal investment and consumption with transaction costs
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Hedging American contingent claims with constrained portfolios
• Hedging contingent claims with constrained portfolios
• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3198328 (Why is no real title available?)
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• On infinite-horizon minimum-cost hedging under cone constraints
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• Optimal investment and consumption with transaction costs
• Portfolio Selection with Transaction Costs
• Synthetic replication of American contingent claims when portfolios are constrained
• The pricing of options and corporate liabilities
• The value of an Asian option
• Valuation of exotic options under shortselling constraints

Cited in

(6)

• Dual representation of superhedging costs in illiquid markets
• On optimal super-hedging and sub-hedging strategies
• OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH
• On superhedging under delta constraints
• Penalty method for portfolio selection with capital gains tax
• Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus

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