On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation

DOI10.1007/s007800050070zbMath1042.91525MaRDI QIDQ1979072

Tomas S. Knudsen, Bernhard K. Meister, Mihail Zervos

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050070

zbMATH Keywords

dynamic programming; contingent claims; real assets; non-arbitrage investment model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C39: Dynamic programming

93E20: Optimal stochastic control

93E03: Stochastic systems in control theory (general)

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