Functional Itô calculus
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Publication:5234333
DOI10.1080/14697688.2019.1575974zbMath1420.91458OpenAlexW3124086936MaRDI QIDQ5234333
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1575974
delta hedgingfunctional Itô and Feynman-Kac formulaefunctional PDEMartingale representationmodel impactpath dependent functionals and optionssubmartingale bounds
Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Semimartingale integral representation
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- The Mathematics of Financial Derivatives
- Stochastic Equations in Infinite Dimensions
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