A replicating strategy is a self-financing portfolio whose terminal wealth equals the prescribed payoff of a contingent claim. Admissibility specifies the permitted wealth bounds and integrability of its holdings.
Ancestors (7)
- Contingent claim
- Fundamental theorem of asset pricing
- Mathematical finance
- Mathematical optimization
- Area of mathematics
- Mathematics
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- Claim replication
- Deflator-based claim replication
- Guaranteed terminal stock floor in the Black-Scholes model
- Option pricing
- Option rho
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- Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 29 / 2 / Solution
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- Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 39 / 5 / Solution
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- Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 211 / 6 / d / Solution
- Path-dependent contingent claim
- Power payoff static call representation
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