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Attainable Claims In A Markov Market1

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  • Alain Bensoussan
  • Robert J. Elliott

Abstract

It is shown how, even when the market is incomplete, certain contingent claims are attainable: that is, they can be represented as stochastic integrals with respect to the process which describes the evolution of the asset prices.

Suggested Citation

  • Alain Bensoussan & Robert J. Elliott, 1995. "Attainable Claims In A Markov Market1," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 121-131, April.
    • Handle: RePEc:bla:mathfi:v:5:y:1995:i:2:p:121-131
    DOI: 10.1111/j.1467-9965.1995.tb00105.x
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    File URL: https://doi.org/10.1111/j.1467-9965.1995.tb00105.x
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    1. repec:dau:papers:123456789/5374 is not listed on IDEAS
    2. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
    3. Robert J. Elliott & Tak Kuen Siu, 2023. "Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 925-950, July.
    4. Claus Munk, 1997. "No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio," Finance 9712006, University Library of Munich, Germany.

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