scientific article; zbMATH DE number 433053

zbMATH Open0790.90006MaRDI QIDQ3139219FDOQ3139219

Authors: Robert J. Elliott, David B. Colwell 

Publication date: 11 November 1993

Title of this publication is not available (Why is that?)

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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)

Cited In (7)

• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

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