Martingale measures and hedging for discrete-time financial markets (Q2757607)
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scientific article; zbMATH DE number 1677106
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale measures and hedging for discrete-time financial markets |
scientific article; zbMATH DE number 1677106 |
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26 November 2001
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option pricing
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hedging
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portfolio plans
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incomplete markets
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American options
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optional decomposition
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0.92917734
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0.91967666
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0.90190077
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0.8986931
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0.89404106
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Martingale measures and hedging for discrete-time financial markets (English)
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This paper considers the problem of superreplication for European and American options in a setting of finite discrete time with a multidimensional square-integrable price process. The main result is a self-contained proof of a variant of the optional decomposition theorem due to \textit{D. O. Kramkov} [Probab. Theory Relat. Fields 105, 459-479 (1996; Zbl 0853.60041) and Finance Stoch. 2, 69-81 (1998; Zbl 0894.90016)]. Some additional details in the Markovian case are also given.
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