数学物理学报(英文版) ›› 2001, Vol. 21 ›› Issue (4): 483-494.

• 论文 • 上一篇    下一篇

PRICING AND HEDGING OPTION UNDER PORTFOLIO CONSTRAINED

 魏刚, 陈世平   

  1. Department of Financial Mathematics, Beijing University, Beijing 100871, China
  • 出版日期:2001-10-06 发布日期:2001-10-06
  • 基金资助:

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

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

摘要:

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.

关键词: Super-replication, stochastic control, portfolio constraints

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

中图分类号: 

  • 60K10