Yong, Jiongmin - In: Mathematical Finance 9 (1999) 4, pp. 387-412
This paper considers the problem of hedgeability and replicability of European‐type contingent claims in an incomplete market with the wealth and the portfolio possibly being constrained. For the case of no constraint, using the idea of a Four Step Scheme (Ma, Protter, and Yong 1994), we prove...