The range of derivative's arbitrage prices in a general incomplete market

zbMATH Open1188.91221MaRDI QIDQ3565368FDOQ3565368

Authors: Silvia Romagnoli 

Publication date: 3 June 2010

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (2)

• A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
• Incompleteness of markets driven by a mixed diffusion

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