scientific article; zbMATH DE number 1145361

MaRDI QIDQ4384658zbMATH OpenFDO

Authors Shuguang Zhang

Publication date 4 August 1998

zbMATH Keywords

hedging contingent claims

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

Recommendations

• Pricing and hedging of american contingent claims in incomplete markets
• scientific article; zbMATH DE number 17495
• scientific article; zbMATH DE number 775010

Cited in

(12)

• Incompleteness of markets driven by a mixed diffusion
• Pricing and hedging of american contingent claims in incomplete markets
• On the pricing of contingent claims with frictions.
• European-type contingent claims in an incomplete market with constrained wealth and portfolio
• Optimal hedging of path-dependent options in dicalete time incomplete market
• scientific article; zbMATH DE number 5008842 (Why is no real title available?)
• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• Options prices in incomplete markets
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• scientific article; zbMATH DE number 2099709 (Why is no real title available?)
• scientific article; zbMATH DE number 7071390 (Why is no real title available?)
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4384658)