Duality and martingales: a stochastic programming perspective on contingent claims

DOI10.1007/s101070100257zbMath1074.91018OpenAlexW2151710377MaRDI QIDQ1849531

Alan J. King

Publication date: 1 December 2002

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s101070100257

zbMATH Keywords

stochastic programmingmartingalesoption pricingincomplete markets

Mathematics Subject Classification ID

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