Hedging American contingent claims with constrained portfolios under proportional transaction costs

Wang Bo*, Meng Qingxin

*Corresponding author for this work

Research output: Contribution to journalArticle

6 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1153-1162
Number of pages10
JournalChaos, Solitons and Fractals
Volume23
Issue number4
DOIs
Publication statusPublished - Feb 2005

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