Approximation pricing and the variance-optimal martingale measure (Q1922074)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Approximation pricing and the variance-optimal martingale measure |
scientific article; zbMATH DE number 926210
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation pricing and the variance-optimal martingale measure |
scientific article; zbMATH DE number 926210 |
Statements
Approximation pricing and the variance-optimal martingale measure (English)
0 references
5 January 1997
0 references
option pricing
0 references
variance-optimal martingale measure
0 references
backward stochastic differential equations
0 references
incomplete markets
0 references
adjustment process
0 references
mean-variance trade-off
0 references
minimal signed martingale measure
0 references
