Article ID Journal Published Year Pages File Type
5098287 Journal of Economic Dynamics and Control 2015 15 Pages PDF
Abstract
We consider superhedging of contingent claims under ratio constraint. It has been widely recognized that the minimum cost of superhedging a contingent claim with certain portfolio constraints is equal to the price of a claim with appropriately modified payoff but without constraints. In terms of the backward stochastic differential equation (BSDE) and the variational inequality equation approach, we revisit this result and provide two counterexamples.
Related Topics
Physical Sciences and Engineering Mathematics Control and Optimization
Authors
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