Published August 1993
| Published
Journal Article
Open
Hedging Contingent Claims with Constrained Portfolios
- Creators
-
Cvitanić, Jakša
- Karatzas, Ioannis
Chicago
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Abstract
We employ a stochastic control approach to study the question of hedging contingent claims by portfolios constrained to take values in a given closed, convex subset of R^d. In the framework of our earlier work for utility maximization with constrained portfolios, we extend results of El Karoui and Quenez on incomplete markets and treat the case of different interest rates for borrowing and lending.
Additional Information
© 1993 Institute of Mathematical Statistics. Received May 1992; revised November 1992. Research supported in part by NSF Grant DMS-90-22188. We are indebted to Professor Mark Brown for bringing to our attention the well-known fact (7.4) for the European call option. Thanks are also due the referees and an Associate Editor for their careful reading of the manuscript and for suggesting improvements that greatly enhanced its readability. We are grateful to M. C. Quenez for sending us the preprint El Karoui, Peng and Quenez (1993) which inspired Proposition 6.13 and elicited Remark 9.6.Attached Files
Published - CVIaap93.pdf
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CVIaap93.pdf
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Additional details
- Eprint ID
- 29672
- Resolver ID
- CaltechAUTHORS:20120309-140207905
- NSF
- DMS-90-22188
- Created
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2012-03-12Created from EPrint's datestamp field
- Updated
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2019-10-03Created from EPrint's last_modified field