Hedging American contingent claims with constrained portfolios
Year of publication: |
1998-05-05
|
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Authors: | Karatzas, Ioannis ; (*), S. G. Kou |
Published in: |
Finance and Stochastics. - Springer. - Vol. 2.1998, 3, p. 215-258
|
Publisher: |
Springer |
Subject: | Contingent claims | hedging | pricing | arbitrage | constrained markets | incomplete markets | different interest rates | Black-Scholes formula | optimal stopping | free boundary | stochastic control | stochastic games | equivalent martingale measures | simultaneous Doob-Meyer decompositions |
Extent: | application/pdf application/postscript |
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Type of publication: | Article |
Notes: | received: July 1996; final version received: November 1996 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; D52 - Incomplete Markets ; C60 - Mathematical Methods and Programming. General |
Source: |
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