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
Pages :
10
From page :
1153
To page :
1162
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
Serial Year :
2005
Journal title :
Chaos, Solitons and Fractals
Record number :
901176
Link To Document :
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