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

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)

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• 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
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• Incompleteness of markets driven by a mixed diffusion
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