Options Prices in Incomplete Markets

DOI10.1051/proc/201756072zbMath1407.91251OpenAlexW2753926129MaRDI QIDQ4606385

Jean Jacod, Philip E. Protter

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201756072

zbMATH Keywords

Brownian motionconvex functionincomplete marketsEuropean call optionprice processpay-off function

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Limit theorems for prices of options written on semi-Markov processes

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