scientific article; zbMATH DE number 17495
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Publication:3974816
zbMATH Open0738.90007MaRDI QIDQ3974816FDOQ3974816
Authors: Hans Föllmer, Martin Schweizer 
Publication date: 26 June 1992
Title of this publication is not available (Why is that?)
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incomplete marketcontinuous semimartingaleminimal equivalent martingale measureoptimal hedging strategies for contingent claims
Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Microeconomic theory (price theory and economic markets) (91B24)
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- Option pricing when the regime-switching risk is priced
- Bounds for the utility-indifference prices of non-traded assets in incomplete markets
- Option hedging for semimartingales
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- Pricing contingent claims on stocks driven by Lévy processes
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- The \(p\)-optimal martingale measure in continuous trading models
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- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
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- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Properties of multinomial lattices with cumulants for option pricing and hedging
- Pricing annuity guarantees under a regime-switching model
- Fast deterministic pricing of options on Lévy driven assets
- GARCH option pricing: A semiparametric approach
- Equilibrium pricing in incomplete markets under translation invariant preferences
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