On the pricing of contingent claims under constraints
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Duality theory (optimization) (49N15) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)
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Cites work
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Cited in
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