Hedging contingent claims on semimartingales
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Publication:1297912
DOI10.1007/s007800050054zbMath0926.60035OpenAlexW1983878637MaRDI QIDQ1297912
Dilip B. Madan, Robert A. Jarrow
Publication date: 14 September 1999
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050054
Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)
Related Items (10)
The Term Structure of Simple Forward Rates with Jump Risk ⋮ Pricing and hedging contingent claims using variance and higher order moment swaps ⋮ Bond market completeness under stochastic strings with distribution-valued strategies ⋮ Fundamental Theorems of Asset Pricing for Good Deal Bounds ⋮ IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS ⋮ Dynamic complex hedging in additive markets ⋮ Deterministic implied volatility models ⋮ A note on extremality and completeness in financial markets with infinitely many risky assets ⋮ Multiple priors and asset pricing ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures
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