A general problem of an optimal equivalent change of measure and contingent claim pricing in an incomplete market.

DOI10.1016/S0304-4149(00)00038-7zbMATH Open1046.60041MaRDI QIDQ1879481FDOQ1879481

Authors: M. Mania 

Publication date: 22 September 2004

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

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zbMATH Keywords

stochastic controlvalue functionmartingale measurebackward semimartingale equation

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Cites Work

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• On the variation distance for probability measures defined on a filtered space
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• Optimal locally absolutely continuous change of measure. finite set of decisions. part i
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Cited In (4)

• Title not available (Why is that?)
• Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
• Derivatives pricing viap-optimal martingale measures: some extreme cases
• Backward stochastic partial differential equations related to utility maximization and hedging

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