A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements (Q2707156)
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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)
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29 March 2001
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option pricing
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portfolio optimization
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optimal pricing
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margin requirements
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borrowing constraints
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martingales
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convex duality
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