SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Hedging American contingent claims with constrained portfolios · Study

ArticleShelves

ArticleHedging American contingent claims with constrained portfolios

Ioannis Karatzas1998

OA

Articlegreen1998

Hedging American contingent claims with constrained portfolios

Ioannis Karatzas · Steven G. Kou

122 citations·0/0 files stored·Finance and Stochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 122 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2007Brownian Motion and Stochastic Calculus 2005Theory of rational option pricing 1976The arbitrage theory of capital asset pricing 1979Martingales and arbitrage in multiperiod securities markets 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading

Cited by

2009Dynamic mean–variance portfolio selection with borrowing constraint 2004Pricing derivatives of American and game type in incomplete markets 2007Horizon-unbiased utility functions 2008Martingale approach to stochastic differential games of control and stopping 2013On the Multidimensional Controller-and-Stopper Games 2000A Barrier Option of American Type 2001Randomized Stopping Times and American Option Pricing with Transaction Costs

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 21 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 19 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 16 shared references 2012Finite-Element Methodschapter · 16 shared references 1994Martingale Approach to Pricing Perpetual American Optionsarticle · 15 shared references 2010On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call optionsarticle · 15 shared references

Details

Year1998

Typearticle

Published1998-05-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations122

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s007800050039

openalex_workW2117838481

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2000Finite-Fuel Singular Control With Discretionary Stopping