Hedging contingent claims for a large investor in an incomplete market

Advances in Applied Probability

Volumn 30, Issue 1, 1998, Pages 239-255

  Buckdahn, Rainer ^a   Hu, Ying ^b,c  

^a UNIVERSITÉ DE BRETAGNE OCCIDENTALE   (France)

^b UNIVERSITÉ CLERMONT AUVERGNE   (France)

^c UNIVERSITÉ BLAISE PASCAL   (France)

Author keywords

Constrained portfolios; Contingent claims; Forward backward stochastic differential equations; Hedging strategy; Incomplete markets; Large investor

Indexed keywords

EID: 0032025176     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0001867800008181     Document Type: Article

References (11)

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