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 re...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.展开更多
基金This work is supported by the major project "Financial Mathematics, Financial Engineering and Financial Management" of NNSFC.
文摘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.
