ATTAINABLE CLAIMS IN A MARKOV MARKET

DOI10.1111/j.1467-9965.1995.tb00105.xzbMath0866.90030OpenAlexW2006142290MaRDI QIDQ3126227

Robert J. Elliott, Alain Bensoussan

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00105.x

zbMATH Keywords

contingent claimsstochastic integrals

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic integrals (60H05)

Related Items (9)

Stochastic Flows and Jump-Diffusions ⋮ ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET ⋮ Maximum Simulated Likelihood Estimation: Techniques and Applications in Economics ⋮ An accept-reject algorithm for the positive multivariate normal distribution ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation ⋮ Multivariate regression analysis of panel data with binary outcomes applied to unemployment data ⋮ Bayesian Semiparametric Symmetric Models for Binary Data

Cites Work

• On the pricing of American options
• Martingale representation and hedging policies
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