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Q4826101 - MaRDI portal

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scientific article; zbMATH DE number 2114375
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scientific article; zbMATH DE number 2114375

    Statements

    author
    Aleš Černý
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    publication date
    9 November 2004
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    zbMATH Keywords
    no-arbitrage pricing
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    risk-neutral probabilities
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    expected utility maximization
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    generalized Sharp ratio
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    portfolio optimization
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    Brownian motion
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    Poisson process
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    fast Fourier transform
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    martingales
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    change of probability measure
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    Ito formula
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    Girsanov theorem
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    Feynman-Kac formula
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    dynamic hedging
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    incomplete market
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    option pricing
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    Ito process
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    Black-Scholes partial differential equation
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    Identifiers

    zbMATH DE Number
    2114375
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