PRICING AND HEDGING OPTION UNDER PORTFOLIO CONSTRAINED  

作　　者：魏刚 陈世平 

出　　处：《Acta Mathematica Scientia》2001年第4期483-494,共12页数学物理学报（B辑英文版）

基　　金：This work is supported by the major project "Financial Mathematics, Financial Engineering and Financial Management" of NNSFC.

摘　　要：The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take values in a given closed, convex subset of RK, and extend the results of Gianmario Tessitore and Jerzy Zabczyk([6]) on pricing options in multiasset and multinominal model.The authors employ convex analysis and stochastic control approach to study the question of hedging contingent claims with portfolio constrained to take values in a given closed, convex subset of RK, and extend the results of Gianmario Tessitore and Jerzy Zabczyk([6]) on pricing options in multiasset and multinominal model.

关 键 词：super-replication stochastic control portfolio constraints 

分 类 号：F224.1[经济管理—国民经济]