haku: @indexterm CONTINGENT CLAIMS / yhteensä: 14
viite: 12 / 14
| Tekijä: | Broadie, M. Cvitanic, J. Soner, H. M. |
| Otsikko: | Optimal replication of contingent claims under portfolio constraints |
| Lehti: | Review of Financial Studies
1998 : SPRING, VOL. 11:1, p. 59-79 |
| Asiasana: | CONTINGENT CLAIMS PORTFOLIO MANAGEMENT COSTS |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA