On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation

DOI10.1007/s007800050070zbMath1042.91525OpenAlexW2012652382MaRDI QIDQ1979072

Tomas S. Knudsen, Bernhard K. Meister, Mihail Zervos

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050070

zbMATH Keywords

dynamic programmingcontingent claimsreal assetsnon-arbitrage investment model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03)

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