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Hedging American contingent claims with constrained portfolios
Authors:Ioannis Karatzas  S G Kou
Institution:(1) Departments of Mathematics and Statistics, Columbia University, New York, NY 10027, USA (e-mail: ik@math.columbia.edu) , US;(2) Department of Statistics, University of Michigan, Mason Hall, Ann Arbor, MI 48109-1027, USA (e-mail: kou@stat.umich.lsa.umich.edu) , US
Abstract:
Keywords:: Contingent claims  hedging  pricing  arbitrage  constrained markets  incomplete markets  different interest rates            Black-Scholes formula  optimal stopping  free boundary  stochastic control  stochastic games  equivalent martingale measures            simultaneous Doob-Meyer decompositions  JEL classification: Primary G13  Secondary D52  C60  Mathematics Subject Classification          (1991): 90A09  93E20  60H30  60G44  90A10  90A16  49N15
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