Price systems constructed by optimal dynamic portfolios.
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Publication:1403171
DOI10.1007/s001860000049zbMath1054.91042OpenAlexW2005790853MaRDI QIDQ1403171
Publication date: 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860000049
dynamic programmingutility maximizationmartingale measureoptimal dynamic portfoliopricing of options
Martingales with discrete parameter (60G42) Dynamic programming (90C39) Optimal stochastic control (93E20)
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