Valuation of Exotic Options under Shortselling Constraints as a Singular Stochastic Control Problem
نویسندگان
چکیده
This is a quantitative study of the valuation and hedging of dangerous options, options whose hedging strategies require unreasonable or risky short positions of the underlying instrument. We examine the valuation of many exotic options, when a shortselling constraint is imposed, as an example for Contingent Claims in Incomplete Markets. The valuation problem is known to be a stochastic control problem. We examine to what extend and under which conditions it can be viewed as a singular stochastic control problem.
منابع مشابه
Valuation of exotic options under shortselling constraints
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