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theory of Backward SDE's and forward-backward SDE's. The controlled process takes values in RXR and a given initial data for …
Persistent link: https://www.econbiz.de/10005475332
We study the problem of minimal initial capital needed in order to hedge a European contengent claim without risk. The financial market presents incompleteness arising from two sources: stochastic volatility and portfolio constraints described by a closed convex set. In contrast with previous...
Persistent link: https://www.econbiz.de/10005630724