On the pricing of contingent claims under constraints

DOI10.1214/aoap/1034968135zbMath0856.90012OpenAlexW2093416580MaRDI QIDQ1814741

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

zbMATH Keywords

European call options arbitrage-free interval Black-Scholes prices

Mathematics Subject Classification ID

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

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