Optimal Replication of Contingent Claims under Portfolio Constraints
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/11/1/59/5223536/110059.pdf
Reference26 articles.
1. Synthetic replication of American contingent claims when portfolios are constrained
2. Barles G. Soner M. H. 1998, “Option Pricing with Transaction Costs and a Nonlinear Black-Scholes Equation,” working paper, Carnegie Mellon University;, forthcoming in Finance and Stochastics.
3. The Pricing of Options and Corporate Liabilities
4. “Lure of the Linear,”;Boyle;Risk,1994
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