scientific article; zbMATH DE number 5584522

MaRDI QIDQ5320117zbMATH OpenFDO

Authors Qingxin Meng, LanJun Lao, Xuelei Zhao

Publication date 22 July 2009

zbMATH Keywords

contingent claimsDoob-Meyer decompositionhedgingequivalent martingale measurefrictional markets

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Recommendations

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Cited in

(7)

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

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