scientific article; zbMATH DE number 433053

MaRDI QIDQ3139219zbMATH OpenFDO

Authors Robert J. Elliott, David B. Colwell

Publication date 11 November 1993

zbMATH Keywords

minimal martingale measurehedging against contingent claimslocal risk-minimizing trading strategyMarkov diffusion with jumps

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)

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(7)

• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
• 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
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• ATTAINABLE CLAIMS IN A MARKOV MARKET
• Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

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