Hedging American contingent claims with constrained portfolios under proportional transaction costs

Wang Bo; Meng Qingxin

doi:10.1016/j.chaos.2004.05.019

Hedging American contingent claims with constrained portfolios under proportional transaction costs

Wang Bo^*, Meng Qingxin

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

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 [h_low(K), h_up(K)] is an arbitrage-free interval.

Original language	English
Pages (from-to)	1153-1162
Number of pages	10
Journal	Chaos, Solitons and Fractals
Volume	23
Issue number	4
DOIs	https://doi.org/10.1016/j.chaos.2004.05.019
Publication status	Published - Feb 2005

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title = "Hedging American contingent claims with constrained portfolios under proportional transaction costs",

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.",

author = "Wang Bo and Meng Qingxin",

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AU - Qingxin, Meng

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AB - 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.

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M3 - Article

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JO - Chaos, Solitons and Fractals

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Hedging American contingent claims with constrained portfolios under proportional transaction costs

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