Super-replication in stochastic volatility models under portfolio constraints
Work
Year: 1999
Type: article
Abstract: We study a financial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on the borrowing and short-se... more
Source: Journal of Applied Probability
Authors Jakša Cvitanić, Huyên Pham, Nizar Touzi
Institutions Columbia University, Centre de Recherche en Économie et Statistique, Centre for Research in Engineering Surface Technology, Centre de Recherche en Mathématiques de la Décision, Center for Responsible Travel
Cites: 24
Cited by: 107
Related to: 10
FWCI: 7.534
Citation percentile (by year/subfield): 96.56
Subfield: Finance
Domain: Social Sciences
Open Access status: green