Option hedging for semimartingales

DOI10.1016/0304-4149(91)90053-FzbMath0735.90028OpenAlexW2075679850MaRDI QIDQ1176550

Publication date: 25 June 1992

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90053-f

zbMATH Keywords

Black-Scholes model incomplete markets contingent claims semimartingale option hedging frictionless continuous trading local R-minimality minimal equivalent martingale measure option trading stochastic optimality equation

Mathematics Subject Classification ID

Trade models (91B60) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03) Auctions, bargaining, bidding and selling, and other market models (91B26)

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