On Duality Principle for Hedging Strategies in Diffusion Models

DOI10.1137/S0040585X97985480zbMath1266.91103OpenAlexW2000584841MaRDI QIDQ4925380

Roman V. Ivanov, Albert N. Shiryaev

Publication date: 12 June 2013

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

Full work available at URL: https://doi.org/10.1137/s0040585x97985480

zbMATH Keywords

optionshedging strategiesdiffusion modelsduality principles

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On predicting the maximum of a semimartingale and the optimal moment to sell a stock

This page was built for publication: On Duality Principle for Hedging Strategies in Diffusion Models