Universal contingent claims and valuation multiplicative measures with examples and applications

DOI10.1016/J.NA.2008.02.059zbMath1142.91393OpenAlexW2087807198MaRDI QIDQ943714

Valery A. Kholodnyi

Publication date: 10 September 2008

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2008.02.059

zbMATH Keywords

multiplicative measuremarket environmenteigenclaimgenerators of a market environmentsemilinear evolution equation for universal contingent claimsuniversal contingent claim

Mathematics Subject Classification ID

Semigroups of nonlinear operators (47H20) Stochastic models in economics (91B70) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) One-parameter semigroups and linear evolution equations (47D06) Nonlinear evolution equations (47J35) Group- or semigroup-valued set functions, measures and integrals (28B10)

Cites Work

• Unnamed Item
• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
• Modeling power forward prices for power with spikes: a non-Markovian approach
• Product integration of measures and applications
• Universal contingent claims in a general market environment and multiplicative measures: examples and applications
• A nonlinear partial differential equation for american options in the entire domain of the state variable

This page was built for publication: Universal contingent claims and valuation multiplicative measures with examples and applications