Abstract
The subject of this chapter is the arbitrage pricing and almost sure hedging of contingent claims in markets which are incomplete due to portfolio constraints. It often occurs in such markets that a given contingent claim cannot be hedged perfectly, no matter how large the initial wealth of the would-be hedging agent.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 1998 Springer-Verlag New York, Inc.
About this chapter
Cite this chapter
Karatzas, I., Shreve, S.E. (1998). Contingent Claims in Incomplete Markets. In: Methods of Mathematical Finance. Probability Theory and Stochastic Modelling, vol 39. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-6845-9_5
Download citation
DOI: https://doi.org/10.1007/978-1-4939-6845-9_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4939-6814-5
Online ISBN: 978-1-4939-6845-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)