Hedging American contingent claims with constrained portfolios under proportional transaction costs

Chaos, Solitons and Fractals

Volumn 23, Issue 4, 2005, Pages 1153-1162

  Bo, Wang ^a,b   Qingxin, Meng ^c  

^a FUDAN UNIVERSITY   (China)

^b WENZHOU MEDICAL UNIVERSITY   (China)

^c HUZHOU UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

BROWNIAN MOVEMENT; COSTS; FILTRATION; MARKETING; MATHEMATICAL MODELS; RISK ASSESSMENT; THEOREM PROVING;

CONSTRAINED PORTFOLIOS; CONSUMPTION PROCESS; PORTFOLIO PROCESS; TRANSACTION COSTS;

CONSTRAINT THEORY;

EID: 6344221946     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2004.05.019     Document Type: Article

References (6)

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3. Cvitanic J, Karatzas I. Convex duality in convex portfolio optimization. Ann Appl Probab 1992;2:767-818.
4. Cvitanic J, Karatzas I. Hedging and porfolio optimization under transaction costs: a martingale approach. Math Finance 1996;6:135-65.
5. Karatzas I, Kou S. Hedging American contingent claims with constrained portfolios. Finance Stochast 1998:215-58.
6. Meyer PA. Un cours sur les integrales stochastiques. In: Lecture notes in mathematics, vol. 511. Berlin, Heidelberg: Springer; 1976. p. 245-398.