scientific article; zbMATH DE number 5584522

zbMATH Open1174.91437MaRDI QIDQ5320117FDOQ5320117

Authors: Qingxin Meng, LanJun Lao, Xuelei Zhao 

Publication date: 22 July 2009

Title of this publication is not available (Why is that?)

Recommendations

• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• On the pricing of contingent claims with frictions.
• The arbitrage-free interval of American contingent claims with frictions
• Pricing and hedging of american contingent claims in incomplete markets
• On the pricing of American contingent claims under transaction costs and multiple risky assets
• Cost-efficient contingent claims with market frictions
• Pricing American contingent claims by stochastic linear programming
• Pricing of American contingent claims with jump stock price and constrained portfolios

zbMATH Keywords

contingent claimsDoob-Meyer decompositionhedgingequivalent martingale measurefrictional markets

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Cited In (7)

• Pricing American contingent claims by stochastic linear programming
• An integer programming model for pricing American contingent claims under transaction costs
• Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets
• On the pricing of contingent claims with frictions.
• On the pricing of American contingent claims under transaction costs and multiple risky assets
• Pricing of American contingent claims with jump stock price and constrained portfolios
• The arbitrage-free interval of American contingent claims with frictions

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5320117)