scientific article; zbMATH DE number 433053

MaRDI QIDQ3139219zbMATH OpenFDO

Authors Robert J. Elliott, David B. Colwell

Publication date 11 November 1993

zbMATH Keywords

hedging against contingent claimslocal risk-minimizing trading strategyMarkov diffusion with jumpsminimal martingale measure

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Recommendations

• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Martingale representation for contingent claims with regime switching
• scientific article; zbMATH DE number 4085365
• On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion
• scientific article; zbMATH DE number 17495

Cited in

(11)

• Martingale representation and hedging policies
• On martingale measures when asset returns have unpredictable jumps
• Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• scientific article; zbMATH DE number 2131680 (Why is no real title available?)
• Martingale representation for contingent claims with regime switching
• On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion
• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3139219)