On the pricing of contingent claims under constraints
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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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Cites work
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Cited in
(82)- Equal risk pricing under convex trading constraints
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- GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
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