2002 | OriginalPaper | Buchkapitel
On Replication of Claims
verfasst von : Nikolai Dokuchaev
Erschienen in: Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information
Verlag: Springer US
Enthalten in: Professional Book Archive
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In Chapters 5 and 8, the solution of the optimal investment problem was decomposed on two different problems: calculation of the optimal claim and calculation of a strategy to replicate the optimal claim. In this chapter, we discuss some aspects of replication of given claims. First, some possibilities are considered for replicating the desired claim by purchasing options. Second, an example is considered of an incomplete market with transactions costs and with nonpredictable volatility, when replication is replaced for rational superreplication.