A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
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Publication:2707156
DOI10.1111/1467-9965.00099zbMath1017.91061OpenAlexW2131114308MaRDI QIDQ2707156
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00099
martingalesoption pricingportfolio optimizationconvex dualityoptimal pricingborrowing constraintsmargin requirements
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