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	Pricing and hedging option under portfolio constrained
	Wei, G ; Chen, SP
	2001
关键词	super-replication stochastic control portfolio constraints
英文摘要	The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take values in a given closed, convex subset of RK, and extend the results of Gianmario Tessitore and Jerzy Zabczyk([6]) on pricing options in multiasset and multinominal model.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000172993400006&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Mathematics; SCI(E); 中国科学引文数据库(CSCD); 2; ARTICLE; 4; 483-494; 21
语种	英语
出处	SCI
出版者	acta mathematica scientia
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/401820]
专题	数学科学学院
推荐引用方式 GB/T 7714	Wei, G,Chen, SP. Pricing and hedging option under portfolio constrained. 2001-01-01.

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