Superhedging under ratio constraint

Yingshan Chen; Min Dai; Jing Xu; Mingyu Xu

doi:10.1016/j.jedc.2015.06.009

Superhedging under ratio constraint

Yingshan Chen, Min Dai, Jing Xu, Mingyu Xu

Research output: Journal article publication › Journal article › Academic research › peer-review

2 Citations (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 language	English
Pages (from-to)	250-264
Number of pages	15
Journal	Journal of Economic Dynamics and Control
Volume	58
DOIs	https://doi.org/10.1016/j.jedc.2015.06.009
Publication status	Published - 1 Sept 2015
Externally published	Yes

Keywords

Asian option
European option
Ratio constraint
Superhedging

ASJC Scopus subject areas

Economics and Econometrics
Control and Optimization
Applied Mathematics

More information

10.1016/j.jedc.2015.06.009

Cite this

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AU - Xu, Mingyu

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KW - European option

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ER -

Superhedging under ratio constraint

Abstract

Keywords

ASJC Scopus subject areas

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