scientific article; zbMATH DE number 5014850

MaRDI QIDQ3376479zbMATH OpenFDO

Authors W. Stummer

Publication date 23 March 2006

Full work available at URL http://www.shaker.de/de/content/catalogue/index.asp?lang=de&ID=8&ISBN=978-3-8322-3186-6

zbMATH Keywords

arbitrage and contingent claim pricingdiffusion processEuropean contingent claimsexponential properties of diffusion processesMarkov processstatistical information measuresstochastic differential equationsuniform Novikov conditionsuniformly finite expectations

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to information and communication theory (94-02)

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Cited in

(9)

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• Optimal transport with some directed distances
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