scientific article; zbMATH DE number 1009462

zbMATH Open0868.90010MaRDI QIDQ4336695FDOQ4336695

Authors: Jerzy Zabczyk, Gianmario Tessitore 

Publication date: 14 May 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

discrete time, multinomial modelfair prices of optionsMarkovian decision systems

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

Cited In (10)

• Approximations and asymptotics of upper hedging prices in multinomial models
• Pricing mining concessions based on combined multinomial pricing model
• Title not available (Why is that?)
• Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
• A time-series approach to non-self-financing hedging in a discrete-time incomplete market
• Diffusion approximation for average investor's income with loss risk
• Richter's local limit theorem and Black-Scholes type formulas
• Generalized multinomial CRR option pricing model and its Black-Scholes type limit.
• Title not available (Why is that?)
• Option pricing generators

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