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Duplicating and pricing contingent claims with constrained portfolios - MaRDI portal

Duplicating and pricing contingent claims with constrained portfolios

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Publication:1593082

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zbMath1006.91036MaRDI QIDQ1593082

Shige Peng, Feng Yang

Publication date: 28 February 2003

Published in: Progress in Natural Science (Search for Journal in Brave)

zbMATH Keywords

backward stochastic differential equations arbitrage contingent claims pricing constrained portfolios

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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