DocumentCode
2547409
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
fYear
2010
fDate
16-18 April 2010
Firstpage
518
Lastpage
521
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICIME.2010.5477780
Filename
5477780
Link To Document