On the Upper Hedging Price of Contingent Claims

DOI10.1137/S0040585X97986199zbMath1287.91144OpenAlexW2001836722MaRDI QIDQ2874138

R. V. Khasanov

Publication date: 28 January 2014

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986199

zbMATH Keywords

dualitycontingent claimupper hedging pricesemimartingale market model

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Market Models with Optimal Arbitrage

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