Valuation of exotic options under shortselling constraints
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- Kasper Larsen & H. Mete Soner & Gordan Zitkovic, 2014. "Facelifting in Utility Maximization," Papers 1404.2227, arXiv.org.
- Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2016. "Facelifting in utility maximization," Finance and Stochastics, Springer, vol. 20(1), pages 99-121, January.
- Wurth, A.M., 2009. "Pricing and hedging in incomplete financial markets," Other publications TiSEM 45e60d16-cf9e-4740-bb05-0, Tilburg University, School of Economics and Management.
- repec:dau:papers:123456789/1930 is not listed on IDEAS
- Kasper Larsen & Halil Soner & Gordan Žitković, 2016. "Facelifting in utility maximization," Finance and Stochastics, Springer, vol. 20(1), pages 99-121, January.
- Chen, Yingshan & Dai, Min & Xu, Jing & Xu, Mingyu, 2015. "Superhedging under ratio constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 250-264.
- Imen Bentahar & Bruno Bouchard, 2006. "Barrier Option Hedging under Constraints: A Viscosity Approach," SFB 649 Discussion Papers SFB649DP2006-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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KeywordsExotic options; super-replication; stochastic control;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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