haku: @author Broadie, M. / yhteensä: 3
viite: 2 / 3
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