Pricing of contingent claims in large markets

DOI10.1007/S00780-024-00554-0MaRDI QIDQ6659481zbMATH OpenFDO

Authors Oleksii Mostovyi, Pietro Siorpaes

Publication date 9 January 2025

Published in Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

semimartingaleincomplete marketduality theoryindifference pricinglarge marketarbitrage-free pricingutility-based pricingfair pricingasymptotic replicabilityDavis pricinginfinite-dimensional stochastic control

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91Gxx) Optimal stochastic control (93E20)

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