Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets

DOI10.3982/TE4034zbMath1475.91359OpenAlexW3122641644MaRDI QIDQ5164447

Walter Schachermayer, David M. Kreps

Publication date: 11 November 2021

Published in: Theoretical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/te4034

zbMATH Keywords

market completenessBlack-Scholes-Merton modelsynthesis of contingent claims

Mathematics Subject Classification ID

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

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