Title :
On the pricing of contingent claims with constrained portfolios
Author :
Huang, Xiaoqin ; Jiang, Weihua ; Liu, Xiaojie
Author_Institution :
Coll. of Sci., Hebei Univ. of Sci. & Technol., Shijiazhuang, China
Abstract :
In this paper, we study the problem of pricing contingent claims when several constrains exist simultaneously. Then, by the nonlinearity of cost, we prove that the market-maker can obtain arbitrage opportunity as long as he can keep his total sales of contingent claims to have minimum risk.
Keywords :
pricing; risk management; arbitrage opportunity; constrained portfolios; contingent claims pricing; cost nonlinearity; market maker; minimum risk; Bonding; Costs; Educational institutions; Forward contracts; Instruments; Marketing and sales; Mathematics; Portfolios; Pricing; Security; constrained portfolios; contingent claims; elastic rule; incomplete markets;
Conference_Titel :
Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-5263-7
Electronic_ISBN :
978-1-4244-5265-1
DOI :
10.1109/ICIME.2010.5477780
