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Optimal Replication of Contingent Claims under Portfolio Constraints

Mark Broadie1; Jakša Cvitanić1; H. Mete Soner2,3

1 Columbia University · 2 Boğaziçi University · 3 Carnegie Mellon University

Review of Financial Studies 1998 open access

Constraints on the gamma of the replicating portfolio, constraints on portfolio amounts, and constraints on the number of shares are also considered.

DOI
10.1093/rfs/11.1.59
Volume
11 (1)
Pages
59-79
Language
en
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