Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098287 | Journal of Economic Dynamics and Control | 2015 | 15 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Yingshan Chen, Min Dai, Jing Xu, Mingyu Xu,