Semimartingales and Hedging in Incomplete Markets
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Publication:4007635
DOI10.1137/1137043zbMath0794.60038MaRDI QIDQ4007635
Publication date: 27 September 1992
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/2f8a35ee595eb734531d20f62e588495edf48256
martingale measure; incomplete information; stochastic optimality equation; optimal hedging strategies; hedging of options
60G35: Signal detection and filtering (aspects of stochastic processes)
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