IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v2y1998i3p215-258.html
   My bibliography  Save this item

Hedging American contingent claims with constrained portfolios

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016. "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, vol. 121(2), pages 278-299.
  2. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
  3. Karatzas, Ioannis & Ocone, Daniel, 2002. "A leavable bounded-velocity stochastic control problem," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 31-51, May.
  4. Erhan Bayraktar & Zhou Zhou, 2012. "On controller-stopper problems with jumps and their applications to indifference pricing of American options," Papers 1212.4894, arXiv.org, revised Nov 2013.
  5. Haluk Yener, 2015. "Maximizing survival, growth and goal reaching under borrowing constraints," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2053-2065, December.
  6. Wang, Bo & Song, Ruili, 2009. "The Application of backward stochastic differential equation with stopping time in hedging American contingent claims," Chaos, Solitons & Fractals, Elsevier, vol. 42(5), pages 2629-2634.
  7. Erhan Bayraktar & Yu-Jui Huang, 2010. "On the Multi-Dimensional Controller and Stopper Games," Papers 1009.0932, arXiv.org, revised Jan 2013.
  8. Tianyang Nie & Marek Rutkowski, 2016. "A BSDE approach to fair bilateral pricing under endogenous collateralization," Finance and Stochastics, Springer, vol. 20(4), pages 855-900, October.
  9. Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2016. "BSDEs with default jump," Papers 1612.05681, arXiv.org, revised Sep 2017.
  10. Bo, Wang & Qingxin, Meng, 2007. "Hedging American contingent claims with arbitrage costs," Chaos, Solitons & Fractals, Elsevier, vol. 32(2), pages 598-603.
  11. Erhan Bayraktar & Song Yao, 2013. "On the Robust Optimal Stopping Problem," Papers 1301.0091, arXiv.org, revised Apr 2016.
  12. Beatrice Acciaio & Gregor Svindland, 2014. "On The Lower Arbitrage Bound Of American Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 147-155, January.
  13. Riedel, Frank, 2010. "Optimal Stopping under Ambiguity," Center for Mathematical Economics Working Papers 390, Center for Mathematical Economics, Bielefeld University.
  14. Vicky Henderson & David Hobson, 2008. "Perpetual American options in incomplete markets: the infinitely divisible case," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 461-469.
  15. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
  16. Henderson, Vicky & Hobson, David, 2007. "Horizon-unbiased utility functions," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1621-1641, November.
  17. M. Pınar & A. Camcı, 2012. "An Integer Programming Model for Pricing American Contingent Claims under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 39(1), pages 1-12, January.
  18. Giorgio Ferrari & Shihao Zhu, 2022. "On a Merton Problem with Irreversible Healthcare Investment," Papers 2212.05317, arXiv.org, revised Dec 2023.
  19. Zhou, Qing & Wu, Weixing & Wang, Zengwu, 2008. "Cooperative hedging with a higher interest rate for borrowing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 609-616, April.
  20. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
  21. Xiongfei Jian & Xun Li & Fahuai Yi, 2014. "Optimal Investment with Stopping in Finite Horizon," Papers 1406.6940, arXiv.org.
  22. Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2021. "American options in a non-linear incomplete market model with default," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 479-512.
  23. Denis Belomestny & Volker Kraetschmer, 2017. "Minimax theorems for American options in incomplete markets without time-consistency," Papers 1708.08904, arXiv.org.
  24. Fu, Chenpeng & Lari-Lavassani, Ali & Li, Xun, 2010. "Dynamic mean-variance portfolio selection with borrowing constraint," European Journal of Operational Research, Elsevier, vol. 200(1), pages 312-319, January.
  25. Meng, Qingxin & Wang, Bo, 2005. "Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing," Chaos, Solitons & Fractals, Elsevier, vol. 24(2), pages 617-625.
  26. Chudjakow, Tatjana & Vorbrink, Jörg, 2011. "Exercise strategies for American exotic options under ambiguity," Center for Mathematical Economics Working Papers 421, Center for Mathematical Economics, Bielefeld University.
  27. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "American options in a non-linear incomplete market model with default," Working Papers hal-02025835, HAL.
  28. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2021. "American options in a non-linear incomplete market model with default," Post-Print hal-02025835, HAL.
  29. Chen, An & Ferrari, Giorgio & Zhu, Shihao, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Center for Mathematical Economics Working Papers 684, Center for Mathematical Economics, Bielefeld University.
  30. Kuhn, Christoph, 2002. "Pricing contingent claims in incomplete markets when the holder can choose among different payoffs," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 215-233, October.
  31. Tomasz R. Bielecki & Igor Cialenco & Marek Rutkowski, 2017. "Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models," Papers 1701.08399, arXiv.org, revised Apr 2018.
  32. Erhan Bayraktar & Arash Fahim, 2011. "A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems," Papers 1109.5752, arXiv.org, revised Nov 2013.
  33. An Chen & Giorgio Ferrari & Shihao Zhu, 2023. "Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning," Papers 2312.02943, arXiv.org.
  34. Aliprantis, Charalambos D. & Polyrakis, Yiannis A. & Tourky, Rabee, 2002. "The cheapest hedge," Journal of Mathematical Economics, Elsevier, vol. 37(4), pages 269-295, July.
  35. Kristina Rognlien Dahl, 2019. "A convex duality approach for pricing contingent claims under partial information and short selling constraints," Papers 1902.10492, arXiv.org.
  36. Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2019. "Superhedging prices of European and American options in a non-linear incomplete market with default," Center for Mathematical Economics Working Papers 607, Center for Mathematical Economics, Bielefeld University.
  37. Denis Belomestny & Tobias Hübner & Volker Krätschmer & Sascha Nolte, 2019. "Minimax theorems for American options without time-consistency," Finance and Stochastics, Springer, vol. 23(1), pages 209-238, January.
  38. Acciaio, Beatrice & Svindland, Gregor, 2014. "On the lower arbitrage bound of American contingent claims," LSE Research Online Documents on Economics 50117, London School of Economics and Political Science, LSE Library.
  39. Ferrari, Giorgio & Zhu, Shihao, 2022. "Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment," Center for Mathematical Economics Working Papers 671, Center for Mathematical Economics, Bielefeld University.
  40. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
  41. Joao Amaro de Matos & Ana Lacerda, 2004. "Dry markets and superreplication bounds of American derivatives," Nova SBE Working Paper Series wp461, Universidade Nova de Lisboa, Nova School of Business and Economics.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.