A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements

DOI10.1111/1467-9965.00099zbMath1017.91061OpenAlexW2131114308MaRDI QIDQ2707156

Domenico Cuoco, Hong Liu

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00099

zbMATH Keywords

martingalesoption pricingportfolio optimizationconvex dualityoptimal pricingborrowing constraintsmargin requirements

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Consumer behavior, demand theory (91B42)

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