A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements (Q2707156): 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/10.1111/1467-9965.00099 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2131114308 / rank | |||
Normal rank | |||
Latest revision as of 19:55, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements |
scientific article |
Statements
A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements (English)
0 references
29 March 2001
0 references
option pricing
0 references
portfolio optimization
0 references
optimal pricing
0 references
margin requirements
0 references
borrowing constraints
0 references
martingales
0 references
convex duality
0 references
