ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (Q3370586)

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ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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    title
    ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (English)
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    author
    Julien Hugonnier
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    Dmitry Kramkov
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    Walter Schachermayer
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    publication date
    8 February 2006
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    Mathematics Subject Classification ID
    91G20
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    60H05
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    60H30
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    60G42
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    91B16
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    zbMATH DE Number
    5004609
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    zbMATH Keywords
    semimartingale model
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    Rosenthal's lemma
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