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

DOI10.1016/S0304-4149(00)00038-7MaRDI QIDQ1879481zbMATH OpenFDO

Authors M. Mania

Publication date 22 September 2004

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

Full work available at URL https://doi.org/10.1016/S0304-4149(00)00038-7

zbMATH Keywords

backward semimartingale equationmartingale measurestochastic controlvalue function

Mathematics Subject Classification ID

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

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Cites work

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• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• Existence of Optimal Stochastic Control Laws
• Hedging of contingent claims and maximum price
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• scientific article; zbMATH DE number 4064171 (Why is no real title available?)
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• Optional decomposition and Lagrange multipliers
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets

Cited in

(7)

• A convenient way to characterize equivalent martingale measures in incomplete markets
• Backward stochastic partial differential equations related to utility maximization and hedging
• Optimal equivalent probability measures under enlarged filtrations
• scientific article; zbMATH DE number 5885646 (Why is no real title available?)
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• Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
• Derivatives pricing viap-optimal martingale measures: some extreme cases

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