search query: @author Soner, H. M. / total: 1
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| Author: | Broadie, M. Cvitanic, J. Soner, H. M. |
| Title: | Optimal replication of contingent claims under portfolio constraints |
| Journal: | Review of Financial Studies
1998 : SPRING, VOL. 11:1, p. 59-79 |
| Index terms: | CONTINGENT CLAIMS PORTFOLIO MANAGEMENT COSTS |
| Language: | eng |
| Abstract: | The minimum cost of superreplicating a nonnegative contingent claim is determined when there are convex constraints on portfolio weights. The optimal cost with constraints is equal to the price of a related claim without constraints. The related claim is a dominating claim: a claim whose payoffs are increased in an appropriate way relative to the original claim. The results hold for a variety of options. Constraints on the gamma of the replicating portfolio, constraints on portfolio amounts, and constraints on the number of shares are considered. |
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