Optimal contingent claims.

DOI10.1214/aoap/1015345347zbMath1040.91050OpenAlexW1993245151MaRDI QIDQ1872450

Andrius Jankunas

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015345347

zbMATH Keywords

optimal investmentfinancial mathematic contingent claims

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Cites Work

• Estimation of parameters of linear stochastic difference equations.
• Estimation of parameters of linear homogeneous stochastic differential equations
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