A convex duality approach for pricing contingent claims under partial information and short selling constraints
نویسندگان
چکیده
منابع مشابه
On the Pricing of Contingent Claims under Constraints
We discuss the problem of pricing contingent claims, such as European call-options, based on the fundamental principle of “absence of arbitrage” and in the presence of constraints on portfolio choice, e.g. incomplete markets and markets with short-selling constraints. Under such constraints, we show that there exists an arbitrage-free interval which contains the celebrated Black-Scholes price (...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2016
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2016.1255147