Semimartingales and Hedging in Incomplete Markets

DOI10.1137/1137043zbMATH Open0794.60038OpenAlexW2052832271MaRDI QIDQ4007635FDOQ4007635

Authors: Martin Schweizer 

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

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zbMATH Keywords

incomplete informationmartingale measurestochastic optimality equationoptimal hedging strategieshedging of options

Mathematics Subject Classification ID

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

Cited In (5)

• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• From tick data to semimartingales
• Option hedging for semimartingales
• Conservative delta hedging.
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach

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