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- incomplete market; semimartingale; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition Mathematics Subject Classification ID 60G44: Martingales...15 bytes (33 words) - 21:37, 7 February 2024
- 5 February 2011 zbMATH Keywords incomplete information; Galtchouk-Kunita-Watanabe decomposition Mathematics Subject Classification ID 62P05: Applications...15 bytes (34 words) - 22:47, 3 February 2024
- Hai-feng Zhang Publication date: 3 June 2008 zbMATH Keywords Galtchouk-Kunita-Watanabe decomposition; special semimartingales; variance-optimal martingale measures...15 bytes (50 words) - 23:44, 4 February 2024
- zbMATH Keywords incomplete markets; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; minimal martingale measure; local risk-minimization;...15 bytes (75 words) - 20:58, 30 January 2024
- Keywords arbitrage; semimartingale; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; structure conditions Mathematics Subject Classification...15 bytes (69 words) - 06:38, 8 February 2024
- https://arxiv.org/abs/1907.04230 zbMATH Keywords incomplete market; Galtchouk-Kunita-Watanabe decomposition; market consistent valuation; quadratic hedging; intrinsic...15 bytes (71 words) - 15:37, 8 February 2024
- martingale; hedging strategy; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; local risk-minimization; defaultable claims Mathematics...15 bytes (82 words) - 11:21, 30 January 2024
- processes; variance-optimal hedging; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; target volatility options Mathematics Subject Classification...15 bytes (76 words) - 04:08, 30 January 2024
- equation; Girsanov transformation; stochastic control system; Galtchouk-Kunita-Watanabe decomposition Mathematics Subject Classification ID 60G22: Fractional...15 bytes (92 words) - 05:47, 30 January 2024
- zbMATH Keywords partial information; risk-minimization; Galtchouk-Kunita-Watanabe decomposition; unit-linked life insurance contracts; benchmark approach;...15 bytes (94 words) - 11:25, 30 January 2024
- projection; equations driven by a càdlàg martingale; Galtchouk-Kunita-Watanabe (GKW) decomposition Mathematics Subject Classification ID 60H10: Stochastic...15 bytes (86 words) - 03:16, 9 February 2024