European‐Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio
研究了在不完全市场且财富和投资组合可能受约束时，欧式未定权益（如欧式看涨看跌期权）的对冲与复制问题，给出了无约束下的可复制性证明及约束下的正反结果。
This paper considers the problem of hedgeability and replicability of European‐type contingent claims in an incomplete market with the wealth and the portfolio possibly being constrained. For the case of no constraint, using the idea of a Four Step Scheme (Ma, Protter, and Yong 1994), we prove the replicability of a class of contingent claims (including European call and put options) without assuming ad hoc technical conditions. For the case with the wealth and portfolio being constrained, several positive and negative results concerning hedgeability and replicability are presented.