Superhedging under ratio constraint

Yingshan Chen, Min Dai, Jing Xu, Mingyu Xu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

1 Citation (Scopus)

Abstract

We consider superhedging of contingent claims under ratio constraint. It has been widely recognized that the minimum cost of superhedging a contingent claim with certain portfolio constraints is equal to the price of a claim with appropriately modified payoff but without constraints. In terms of the backward stochastic differential equation (BSDE) and the variational inequality equation approach, we revisit this result and provide two counterexamples.

Original languageEnglish
Pages (from-to)250-264
Number of pages15
JournalJournal of Economic Dynamics and Control
Volume58
DOIs
Publication statusPublished - 1 Sep 2015
Externally publishedYes

Keywords

  • Asian option
  • European option
  • Ratio constraint
  • Superhedging

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

Fingerprint

Dive into the research topics of 'Superhedging under ratio constraint'. Together they form a unique fingerprint.

Cite this