scientific article; zbMATH DE number 1145361

zbMATH Open0903.90010MaRDI QIDQ4384658FDOQ4384658

Authors: Shuguang Zhang 

Publication date: 4 August 1998

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

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zbMATH Keywords

hedging contingent claims

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Optimal stochastic control (93E20)

Cited In (10)

• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• Options prices in incomplete markets
• Title not available (Why is that?)
• European-type contingent claims in an incomplete market with constrained wealth and portfolio
• Optimal hedging of path-dependent options in dicalete time incomplete market
• On the pricing of contingent claims with frictions.
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
• Title not available (Why is that?)
• Incompleteness of markets driven by a mixed diffusion
• Title not available (Why is that?)

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