PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE

DOI10.1111/j.0960-1627.2004.00195.xzbMath1134.91471MaRDI QIDQ4673847

Virginia R. Young

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00195.x

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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