REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS

Jiongmin Yong ()
Additional contact information
Jiongmin Yong: Laboratory of Mathematics for Nonlinear Sciences, Department of Mathematics, and Institute of Mathematical Finance, Fudan University, Shanghai 200433, China

International Journal of Theoretical and Applied Finance (IJTAF), 2001, vol. 04, issue 03, 439-466

Abstract: The problem of hedgeability and replicatability of American contingent claims is discussed in an incomplete market. Here the incompleteness of the market is due to the possible degeneracy of the volatility matrix. Using the idea of the four-step scheme and penalization for a class of nonlinear backward stochastic differential equations, we prove, under proper conditions, that the so-calleds-hedgeable American contingent claims are replicatable.

Keywords: BSDE; American contingent claim; hedgeability; replicatability (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024901001061
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:04:y:2001:i:03:n:s0219024901001061

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024901001061

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().