scientific article; zbMATH DE number 6305801

zbMath1328.60108MaRDI QIDQ4979950

Sanjay P. Bhat, Deep Shikha, Vijay Sekhar Chellaboina

Publication date: 20 June 2014

Full work available at URL: http://www.nonlinearstudies.com/index.php/nonlinear/article/view/998/636

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

zbMATH Keywords

geometric Brownian motionoptimal hedgingpath-dependent financial derivatives

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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