×

zbMATH — the first resource for mathematics

European-type contingent claims in an incomplete market with constrained wealth and portfolio. (English) Zbl 1014.91044
The main purpose of this paper is to study general conditions for a contingent claim in a continuous incomplete model of trading to be hedgeable (in general, in a non unique way) when there are restrictions on short selling of assets and when it is required that the value of the replicating portfolio is always nonnegative.

MSC:
91G10 Portfolio theory
91B26 Auctions, bargaining, bidding and selling, and other market models
PDF BibTeX XML Cite
Full Text: DOI