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Martingale Measures and Hedging for Discrete-Time Financial Markets

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Publication:2757607
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DOI10.1287/moor.24.2.509zbMath1014.91041OpenAlexW2126720697MaRDI QIDQ2757607

Manfred Schäl

Publication date: 26 November 2001

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.24.2.509


zbMATH Keywords

hedgingoption pricingAmerican optionsincomplete marketsoptional decompositionportfolio plans


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (3)

A dual representation of gain–loss hedging for European claims in discrete time ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market




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