Dynamic utility-based good deal bounds

DOI10.1524/stnd.2007.0905zbMath1140.91396OpenAlexW2075030776MaRDI QIDQ3519373

Susanne Klöppel, Martin Schweizer

Publication date: 14 August 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/8c84fcba6bb180f05c8de850b2077ba18ecaa922

zbMATH Keywords

Lévy processesdualityincomplete marketsvaluation boundsgood dealsdynamic propertiespricing kernel restrictionsutility-based

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

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