On the pricing of contingent claims under constraints
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Publication:1814741
DOI10.1214/AOAP/1034968135zbMATH Open0856.90012OpenAlexW2093416580MaRDI QIDQ1814741FDOQ1814741
Authors: S. G. Kou, Ioannis Karatzas 
Publication date: 31 October 1996
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034968135
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
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