WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
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Publication:4226862
DOI10.1111/j.1467-9965.1996.tb00077.xzbMath0915.90024OpenAlexW2082600007MaRDI QIDQ4226862
Publication date: 15 June 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00077.x
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Optimal delta-hedging under transactions costs
- Chaotic representation for finite markov chains
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- European Option Pricing with Transaction Costs
- The Homogeneous Chaos