haku: @indexterm NUMERICAL COMPUTATION / yhteensä: 22
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| Tekijä: | Munk, C. |
| Otsikko: | The valuation of contingent claims under portfolio constraints: reservation buying and selling prices |
| Lehti: | European Finance Review
1999 : VOL. 3:3, p. 347-388 |
| Asiasana: | Contingent claims Dynamic programming Incomplete markets Numerical computation Prices |
| Kieli: | eng |
| Tiivistelmä: | With constrained portfolio contingent claims do not generally have a unique price that rules out arbitrage opportunities. The case where the constraints are imposed on the total portfolio of each investor is considered and reservation buying and selling prices for contingent claims is defined. |
SCIMA