A stochastic calculus model of continuous trading: Complete markets

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Publication:1838779


DOI10.1016/0304-4149(83)90038-8zbMath0511.60094OpenAlexW2049258568MaRDI QIDQ1838779

J. Michael Harrison, Stanley R. Pliska

Publication date: 1983

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://www.kellogg.northwestern.edu/research/math/papers/489.pdf

zbMATH Keywords

contingent claim valuationportfolio of securities


Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)


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