Approximation pricing and the variance-optimal martingale measure (Q1922074): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1214/aop/1042644714 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1966132745 / rank | |||
Normal rank | |||
Revision as of 21:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation pricing and the variance-optimal martingale measure |
scientific article |
Statements
Approximation pricing and the variance-optimal martingale measure (English)
0 references
5 January 1997
0 references
option pricing
0 references
variance-optimal martingale measure
0 references
backward stochastic differential equations
0 references
incomplete markets
0 references
adjustment process
0 references
mean-variance trade-off
0 references
minimal signed martingale measure
0 references
