scientific article; zbMATH DE number 1009462

zbMath0868.90010MaRDI QIDQ4336695

Zabczyk, Jerzy, Gianmario Tessitore

Publication date: 14 May 1997

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

discrete time, multinomial modelfair prices of optionsMarkovian decision systems

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

Related Items (5)

Pricing mining concessions based on combined multinomial pricing model ⋮ Diffusion approximation for average investor's income with loss risk ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Richter's local limit theorem and Black-Scholes type formulas ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market

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