scientific article; zbMATH DE number 796439

zbMath0833.60064MaRDI QIDQ4845597

Albert N. Shiryaev, Dmitry Kramkov, Alexander V. Melnikov, Youri M.Kabanov

Publication date: 25 October 1995

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal stoppingfinancial mathematicspricing of optionshedge strategiesmartingale pricing methods

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL ⋮ Perpetual cancellable American options with convertible features ⋮ On the (in-)dependence between financial and actuarial risks ⋮ The minimal entropy martingale measure in a market of traded financial and actuarial risks ⋮ On the option pricing for a generalization of the binomial model

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