Acta mathematica scientia,Series B ›› 2001, Vol. 21 ›› Issue (4): 483-494.

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PRICING AND HEDGING OPTION UNDER PORTFOLIO CONSTRAINED

 WEI Gang, CHEN Shi-Ping   

  1. Department of Financial Mathematics, Beijing University, Beijing 100871, China
  • Online:2001-10-06 Published:2001-10-06
  • Supported by:

    This work is supported by the major project “Financial Mathematics, Financial Engineering and Financial Management” of NNSFC

Abstract:

The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take value in a given closed, convex subset of RK, and extend the results of Gianmario Tessitore and Jerzy Zabczyk[6] on pricing options in multiasset and multinominal model.

Key words: Super-replication, stochastic control, portfolio constraints

CLC Number: 

  • 60K10
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