Title of article :
Hedging American contingent claims with constrained portfolios under proportional transaction costs
Author/Authors :
Wang Bo، نويسنده , , Meng Qingxin، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2005
Abstract :
In a general continuous-time market model with constrained portfolios under proportional transaction costs, we derive the upper and lower hedging prices of American contingent claims. Furthermore we have that [hlow(K),hup(K)] is an arbitrage-free interval.
Journal title :
Chaos, Solitons and Fractals
Journal title :
Chaos, Solitons and Fractals