Financial Markets in the Context of the General Theory of Optional Processes

DOI10.1007/978-3-319-30379-6_47zbMath1414.91359OpenAlexW2499787787MaRDI QIDQ2958812

Mohamed N. Abdelghani, Alexander V. Melnikov

Publication date: 3 February 2017

Published in: Mathematical and Computational Approaches in Advancing Modern Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-30379-6_47

zbMATH Keywords

probability spacefinancial marketsoptional semimartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ On linear stochastic equations of optional semimartingales and their applications ⋮ A comparison theorem for stochastic equations of optional semimartingales ⋮ Parameter estimation in optional semimartingale regression models

Cites Work

• Unnamed Item
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• Utility maximization with a stochastic clock and an unbounded random endowment
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Optimal dividend-payout in random discrete time
• Optional supermartingales and the andersen-jessen theorem
• European Option Pricing with Transaction Costs

This page was built for publication: Financial Markets in the Context of the General Theory of Optional Processes