A note on portfolios with risk-free internal gains

DOI10.1016/J.EXMATH.2006.05.002MaRDI QIDQ2371318zbMATH OpenOpenAlexFDO

Authors Gergei Bana

Publication date 4 July 2007

Published in Expositiones Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.exmath.2006.05.002

zbMATH Keywords

Black-Scholes formulamathematical financeself-financing portfolioWiener process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Hedge portfolios and the black-scholes equations
• scientific article; zbMATH DE number 2050999
• scientific article; zbMATH DE number 6133391
• scientific article; zbMATH DE number 5588947
• On the structure of proper Black-Scholes formulae

Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• Optimum consumption and portfolio rules in a continuous-time model
• The pricing of options and corporate liabilities

Cited in

(3)

• Continuous time portfolio theory and the Schwartz/Sobolev theory of distributions
• Hedge portfolios and the black-scholes equations
• A false sense of wealth

This page was built for publication: A note on portfolios with risk-free internal gains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2371318)