Hedging bounded claims with bounded outcomes.

Authors :: Kusuoka, Shigeo
Yamazaki, Akira
Anderson, Robert
Castaing, Charles
Clarke, Frank H.
Dierker, Egbert
Duffie, Darrell
Evans, Lawrence C.
Fujimoto, Takao
Grandmont, Jean-Michel
Hirano, Norimichi
Hurwicz, Leonid
Ichiishi, Tatsuro
Ioffe, Alexander
Iwamoto, Seiichi
Kamiya, Kazuya
Kawamata, Kunio
Kikuchi, Norio
Maruyama, Toru
Matano, Hiroshi
Source :: Advances in Mathematical Economics (9784431308980); 2006, p75-86, 12p
Publication Year :: 2006
Abstract: We consider a financial market with two or more separate components each driven by a Brownian Motion. We look at the problem to hedge a bounded contingent claim in such a way that all the components remain bounded. The problem can also be rephrased as a problem in risk measures. [ABSTRACT FROM AUTHOR]

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