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Lower hedging of contingent claims in randomly constrained markets - MaRDI portal

Lower hedging of contingent claims in randomly constrained markets

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Publication:2426775

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DOI10.1016/S0252-9602(06)60089-1zbMath1134.91401MaRDI QIDQ2426775

Jianfen Feng, Dianfa Chen

Publication date: 14 May 2008

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

martingale risk premium portfolios set-valued processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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